Based on how the Z retains the modified Ux settings if you only leave power off for a few seconds (
thanks j_photo), it occurred to me that the Z's failure to retain modified settings is related to the Z's OFF being completely off, whereas Nikon's DSLRs retain some power even when turned off, ie the top LCD screen, and possibly use that low-power state to retain volatile ram settings that would otherwise be lost.
So I thought - what if you let the Z go into standby mode instead of turning it off. And voilà, it works! In standby mode the Z retains the modified Ux settings. Even after sitting in standby for 10 minutes it stilled retained the settings. I assume it'll retain it for much longer, provided the camera doesn't enter a deeper sleep mode after some amount of time. And it looks like standby is easy on the battery - SrMi
tested the discharge on his fully-charged Z7 and it was still 100% after two hours.
The fact the Z retains the Ux settings in standby is likely a deliberate decision by Nikon, because there are other settings that do revert in standby, such as
the self timer. So it appears in this case the non-retention of the settings when the camera is OFF is simply a power-saving decision rather than a change in how Nikon handles Ux setting modifications on the Z vs previous bodies.
What's interesting is even if I pull the battery out of my D7200 it still retains the modified Ux settings, so I assume the DSLRs are actually saving the settings to non-volatile ram (ie, relying on the clock battery).
Btw, when using this workaround keep in mind the power-off standby timer (c3) is one of the settings retained in Ux, so whatever standby timer value you want be sure to save it for all the Ux settings you're planning to use, in addition to the global value for non-Ux dial positions such as P/A/S/M.