Well that's strange. I went back and saw the checkbox is again unchecked. All attempts to check it and save the changes result in the same thing - it refreshes the page and stays unchecked. For all I know it's always been that way. I've never tried the forum user search stuff before.

EDIT- There are two separate "save changes" buttons on the "my forum options" page, and I was clicking the wrong one at the bottom of the page.