Well, that's a litte odd. AFAIK, I've never had problems with the palette and border settings being saved on my EZ-Flash IV. So, I'd like to ask a few diagnostic questions. What's the full name of your Goomba compilation? Do you have a proper matching save file in the saver folder? Do SRAM/save states work? Is the issue that palette/border settings aren't saved at all or that they're the same for all games in a compilation? Are you using "Exit" from the L+R menu and allowing your EZ-Flash IV the time to write out your save?
Yes, I know all the above question probably have obvious answers. I just want to double check all the obvious stuff because it seems like the sort of thing to check out first. After that, hopefully we'll have a better idea of what the trouble is.