Hi, I've got the same motherboard and the same problem. As yet I've not found a way to get it to remember my settings, and I don't think there is. I was hoping I could workaround this issue by switching the led's to off in the Aura software before shutting down and leaving my PSU switched on but it still won't remember my settings. Hopefully a future update to the Aura software will allow this.
Also, I'm currently having issues changing the RGB lighting color to white. As far as I can see there are three options to adjust the color in the Aura software, the color wheel, and the 2 bars to the right. I've been using the white bar on the far right and setting it at max to try and change the color to white but instead of a bright white color it has a pink/purple tint to it. I spoke with Asus tech support and sent them images of the problem and they said the board was faulty. However I've just had it replaced with a new one which has the same problem. There is another thread on this issue, http://www.tomshardware.co.uk/answers/id-3028309/asus-maximus-viii-formula-rgb-annoying-red-color.html, but I was hoping you could test yours and let me know if its a fault with mine again or an issue for this motherboard in general?
Thanks