Did you click the box to save the settings to xf86 config? Did you enter the root password to allow the xorg.config file to be modified?
If yes, the look in /etc/X11/xorg.conf. Check if it was changed. Maybe your version of KDE is a bit retarted and created a config file for the old server. Look in the Monitor section for a line that starts with "gama". If there isn't one, you can add one yourself with the line:
gamma <red-gamma> <green-gamma> <blue-gamma>
When I tried it in KDE, it modified my xorg.conf:
VendorName "--> LCD"
DisplaySize 305 230
HorizSync 30.0 - 38.0
VertRefresh 30.0 - 61.0
Option "CalcAlgorithm" "XServerPool"
Option "PreferredMode" "800x600"
Gamma 1.05 1.05 1.05 # created by KGamma
You could edit in the Gamma line yourself. Note that some drivers won't support a gamma setting.
Please see the xorg.conf manpage. You can also have a single gamma entry if you need to adjust the black-white gamma (i.e. all red, green and blue gammas are the same).