What Jmix version are you using? I tested version 2.4.2, and the column visibility is also saved. Additionally, you can check it using the Entity Inspector and search for “User settings (flowui_UserSettingsItem).” The row for your view will contain the saved JSON.
Okay updated to latest version and now i at least get warning: DataGrid contains one or more columns without key specified, settings for them will not be stored
So it seems that when table has some generated collumns it is not possible to automatically save adding columns?