That is odd. when I load mine, in the music menu, I select "Now playing" and it brings me back to the same place in the same song that I was playing when I shut it off.
Question, are you using the switch to turn off the player? Or, are you holding down the M button?
I hold down the M button for about 5 or 6 seconds and then it will stop the music and preform a shutdown, it looks like a fading green line across the screen. If you use the switch to hard shut it off, I am not sure it will save your settings.
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