If you have the following preference in about:config marked 'false', that can cause an issue with checkboxes in Settings. It should be marked 'true' now. browser.proton.enabled

Do you use automatic private browsing mode? That is enabled by either of the following, a bit further down the Privacy & Security settings, in the History section:

• Firefox will: Never remember history
• Firefox will: Use custom settings for history + [x] Always use private browsing mode

Either either of those selected, history, cookies and site data are not saved to disk during your session, so the setting in the Cookies and Site Data section is not applicable.