Some more feedback:
Yesterday I hod no problems.
Today I started my PC and after about 5 UAC prompts and saving of rules in a row, the problem occurred.
Before I could investigate, I had an hour long Skype call.
After the call I noticed that the rules were saving again.
Conclusion:
Windows is blocking Eset temporarily when too many rules (UAC prompts) are created in a short time period. I searched for more info on this Windows behavior but I could not find anything.
This should be easy to test. On a PC with lots of applications, set Eset to Interactive Mode, delete all rules and reboot. I bet that you will see the problem as you will get a ton of rule creation prompts.