I assume item 5 refers to the "Store" button # 3 on the Keylab controller.
As all the other steps seems to be done in MIDI Control Center (MCC), then i would believe this also refere to a MCC Store Button.
I don't use Arturia Controller, so i can't tell.
To me it look like, that this might have to do with the "Sync" feature. And this feature seems to go in both directions between the controller and MCC.
A question can be, if you work with "Sync" correct? If there is a "Store Button" in MCC, then i would try to use that.
Also be sure your firmware is updated. Is it?
If you can't get it to work, then i suggest you contact Arturia support.
I think it's a big deal if you can't store a global pedal polarity setting permanently. As i understand it, then it should be possible with Keylab.
Good luck.
Please report back, about what you find out, so other users can find the answer here.