It's up to each mod to figure out how to save settings since there's no built in standard way of doing it. There are some tools available to mod authors to build in this functionality such as FISS and JContainers, but this is up to the author. You could also use alternative start mods that let you play around in the MCM menus before starting - Skyrim Unbound does this (ie before formally starting the game in Skyrim Unbound's MCM, setup the other MCM mods and save the game. Then use this 'presave' to start new games (assuming the load order hasn't changed much since the initial save)).