Don't shut down Starcraft 2 (the game) when you're working in the editor. Just hit F10 (to pause the game) and tab to the SC2 Editor. Then when you hit "Test Map" (Ctrl+F9) the map will load a lot faster and your graphics settings are saved.
Some of my graphics settings reset too, after closing down SC2. But keeping the application running works perfectly.
I assume you know how to enable "Fullscreen (Windowed)" :)
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