Firefox shows the "(Never) Remember history" setting if all the history and cookie setting are the default. Make at least one change to the default setting if you want "Use custom settings for history" to stay selected. Otherwise Firefox will revert to "(Never) Remember history" if you return to the Privacy tab. The choice "Use custom settings for history" will stay selected as long as not all settings are the default to make you aware that you made changes.

I'm having the same problem but don't understand how to change anything on the default settings or even where the default settings are. Why isn't this information in with the directions anyway? This is really confusing. However, I have to say, Firefox is one VERY fast browser!! :)