I noticed the other day when trying to use the function button that I had programmed, I found that in DJI Go4 when i am connected to the remote, it loses the saved settings for the Fn and C buttons every time the remote is powered off.  to check it, i powered up the remote, set the button settings, and then turned the remote off.  when i turned it back on, it no longer had the settings saved for the buttons.  this seems new with either the new firmware or the latest app update.  

am i the only one with this issue?  

I have this problem....what I did is I remove / uninstall the app from my iPhone 6s+ and reintsall it.  Thereafter, it remembers my custom functions each time I power up

Most likely you are using an OTG cable, seems like a couple of people I've talked to have the same problem not being able to save settings when using OTG cable.