That is OK. If all other cookie and history setting are the default then you switch to "Never remember history" if you enable permanent private browsing mode. You only see the custom setting selected if at least one change has been made to the other settings. You can select "Remember history" to leave PB mode and use "Never remember history" to enter PB mode in that case.

Thank you for your reply Cor-el. The reason I'm confused is that I have 2 computers with Firefox 4 and the same operating system yet I can't match the privacy tab settings. I have one that under the privacy tab I have "use custom settings for history" in the box and a check in "Permanent Private Browsing mode" and checks in "Accept cookies from sites" and "Accept third-party cookies". The other I am unable to set the same way. I understand your reply but I'm left wondering why I can't set both computers alike.