Well one step forward, one step back.
Changing the bpm on the unit itself and saving there seems to have done the trick on that. I can get out of the preset in HD Edit and go back and it now sticks.
However, I've since figured out that delays aren't sticking properly either when done in HD Edit.
I can set a 16th note delay, save it from HD Edit, and then leave the preset and when I go back to it the preset it still says 16th note delay but the delay is actually an 8th note delay. To get it back to a 16th note delay, I have to change it to something else, like 8th, then back to 16th to actually hear a 16th note delay again.
If I change the delay on the HD500 on the unit itself, not in HD Edit, and save (like the bpm) then it seems to work fine.
So I'm starting to lose confidence quickly in HD Edit. I don't know if the issues are all time/bpm related or it goes deeper than that to other things I haven't even discovered yet.