More to the point, "usb Ubuntu" *RUNS IN RAM*!!!! It does NOT execute off of your USB (it would be slower than molasses if it did).
This is a "feature", not a limitation
The whole POINT of the USB is to not alter your hard drive. So when you start, nothing is altered. And when you exit, nothing is saved.
If you DO want to save settings, then you can use "persistence":
http://ubuntuforums.org/showthread.php?t=1446347