If I change an option on one screen, then move to another option screen and make another change and then save and exit it seems it only saves the changes from the last screen. There seems to be no message that other changes are lost.

This is purposely designed this way. When you make changes to options, it only saves the changes in the current tab. It is to prevent saving of accidental changes in other tabs.

Note when you switch tabs, the information is saved in RAM. However, we will make sure the application reminds users when it detects un-saved options before exiting.

Hhhm, I do not think having to save each screen as you go would be expected Windows behaviour, at least in my experience, but I guess if you warn about losing data it might be ok.