A Microsoft online analytical data engine used in decision support and business analytics, providing the analytical data for business reports and client applications such as Power BI, Excel, Reporting Services reports, and other data visualization tools.
It sure sounds like a bug, if it won't save the setting. Curiously I've seen other people reporting the same issue with VS2022 and the latest extension for Analysis Services.
One thing though: it will refuse to do it with standard edition of SSAS. Are you using Enterprise or Dev?
If so, I think you should log it as a bug at the feedback site, given others have reported the same thing.
What also seems odd to me, is that if I create a package and add the task, when I right-click the task, the sequential or parallel options don't seem to be present.