I have found the message coming back after impersonating a user.
Edit: Just looked into this. It looks like they save the settings in the browser local storage. The key is 'ui-userUuid', for some reason it get's deleted when you click on 'Return to admin'.
Edit 2: As a developer I would also save this in the db and when the settings are not present in the local storage, load them from db and create them again. Not sure why they only rely on local storage here.