You can save fan curves, it's just a real finicky pain to do so.
Firstly, make sure you're you have the right profile selected. Basically after every change, you have to hit the little 'Save' icon that's underneath the Profiles list (next to the bin icon). Hitting Apply instead will revert all changes for some reason.
Hit user-define, save, make your curve and hit save, and hit save again.
Also, I've seen a few people getting this, but if you open up the curve editor and the last node is out of the UI/inaccessible, you have to add a bunch of nodes in random spots to the far right, save the curve, close it and re-open it. Eventually it will be all over the place and the end-node will be there somewhere. Hope this helps.