What OS do you have?
If Windows it might be a problem with writing permissions in the program installation folder (i.e. “c:\Program Files\Mathematica\”) or in the user folder (i.e. “c:\Users\<username>\AppData\Roaming\Mathematica\”). Have you tried running Mathematica as Administrator?
The first drop down menu in the option inspector allows you to change whether the option should be applied to the current selection, current notebook, or globally, or a specific notebook. By default it is set to “selection” meaning current selection. More options are available if you select “Current notebook” or “Global”.