Just found same problem here, today.
Working with 9.5.40.
Using old fxchainpreset works fine, creating new ones don’t. The file is created, placed in the right folder and accesible on the menu but as everybody is mention, has no effect when I try to load it.
I test several possibilities (like create in one project an load in same, in other, etc).
(One thing I tried was to rate the preset (with the stars). They cannot be recorded. If I rate for example with 5 stars, as soon as I open the menu agai, there is no stars, maybe this is giving some technical tip)