Hmm...that would seem to me that there is a problem with your registry, because screen saver settings are stored there. However, I can't think of a solution. Because it keeps resetting back to none, the setting in the registry isn't saving when you click apply.
Possibly navigating to the C:\Windows/System32\config folder and making sure all of those files aren't set to read-only (the software file is the key one in this case)? The only other thing I could think that could cause this problem is maybe the location in registry where screensaver settings are stored is missing. I can't say I know how to add those values back in. When you choose a screensaver, the location for the settings is saved to HKEY_CURRENT_USER/Software/Microsoft/Screensavers in the registry.
Also, if you installed some sort of screensaver program, maybe that affected something. Maybe uninstalling any additional screensavers and/or screensaver programs might help.
Hopefully something there helps you
