Am I off base or has this been discussed? The key is supposed to remember your individual settings such as temp, seat, mirrors, radio, and so forth.
You say it works until "I" remove the key. So maybe the key is the problem or the ignition or possibly the software the works with the ignition.
My 00 has never demonstrated this. Everything should stay the same with your key. Maybe the radio settings are not covered by the key. I don't know but your situation is not normal.