We can continue troubleshooting here, since you started this post. This is probably related to the original issue, too.
Usually when options aren’t saving, turning on “Disable config caching” on the Wordfence Options page will fix it right away. If that did not help, then the problem may be that your database user does not have all privileges in your database. If you used phpmyadmin or mysql to set up your database, you will need to make sure the database user has all privileges on all tables.
If that still doesn’t help, there may actually be a problem with one of your database tables. You can reset Wordfence completely if you enable the option “Delete Wordfence tables and data on deactivation” and deactivate Wordfence. All of the settings will be removed, and you’ll have to set them up again, but this is the easiest way to fix a bad table.
Depending on how the database was set up, you may also need to check that the Wordfence database tables were actually removed after disabling it, in case of issues with the privileges.
-Matt R