The state of that push pin is saved when SOLIDWORKS exits. So, if SOLIDWORKS abnormally terminates, if you changed the pinned state during the session, it will not store the change. I just tested this by opening SOLIDWORKS, changing the state of the pin, and then killing SOLIDWORKS through Task Manager and the state was not remembered. If I open SOLIDWORKS, change the state, and then exit SOLIDWORKS normally, it is remembered.
So, the question is, is SOLIDWORKS terminating abnormally for you? Have you crashed out of the session in which you changed the state of the pin? Perhaps as a test, just open a session, change the state, and then exit. Is the state remembered? Note that generally you know when SOLIDWORKS terminates abnormally (a crash), but there are other cases where you might not know, like if it gets stuck in memory rather than completely closing (the UI goes away, but if you check Task Manager, it is still running). Often times, this type of abnormal termination is caused by a specific add-in, so if SOLIDWORKS is getting stuck running in memory, you can try turning off all of the add-ins and then opening and closing SOLIDWORKS to see if it no longer gets stuck in memory. Then turn the add-ins on one by one, going through the process of exiting SOLIDWORKS restarting, exiting again, and checking the task manager to identify which add-in is causing the problem.
I hope this helps,
I have all add-ins turned off and solid works 2015 has been really stable for me so it has not crashed.
However I always use the X in the corner to close solidworks. I just did a File>Exit and now it seems to be working, but with a file exit and a re-open of solidworks it gives me the "no journal file can be created" error. A corner "X" Close does not. interesting... I will stop back in if this fix fails, but I think its working.
Ok, so it seems more related to a computer restart or a log off log on. this morning it was back to the pinned state, after closing out of solidworks in the unpinned state.