You definitely found a bug.
I see the same thing but only when calling ColorDirector from the timeline. Closing/reopening PD doesn't change the setting, and also none of the clips that already have shadow files are affected, only new ones imported afterwards will be at the default resolution.
This should be reported to CL so they can fix it. Here's the contact
page if you'd like to do it, or I can report it if you prefer.