If Copilot is not saving custom instructions, it may be related to the Enhanced personalization control settings. If this control is turned off at the admin level, it can prevent Copilot from applying and saving custom instructions. You should check with your Microsoft 365 admin to ensure that the Enhanced personalization control is enabled for your account.
Additionally, if the Custom instruction control is turned off at the end-user level, it will also stop Copilot from saving those instructions.
If you continue to experience issues, it may be beneficial to consult your admin or refer to the relevant documentation for further troubleshooting steps.