Sounds like you're running WoW while logged on to your Mac with normal privileges. If you log in as an admin and make changes to the video preferences, those will be saved next time you run WoW. If you use a normal account, you can make changes for the session you're currently running, but the changes won't be saved when you quit.
Also, because this is a similar issue which can be confusing the first time, patches don't work unless you're logged in as admin.