In this scenario the directory where the configuration file is located has been configured as Read Only, and SQL Navigator is not able to write,please proceed to check this directory
In SQL Navigator 7.2 go to: C:\Users\[ Windows User ]\AppData\Roaming\Dell\SQL Navigator 7.2.0
In 7.1 and older versions: C:\User\Windows User | AppData\Roaming\Quest Software\SQL Navigator Version
After adding an icon (execute as a script ) to the toolbar, go to View | Code Editor and open a new editor, then exit SQL Navigator. Now relaunch SQL Nav, it should save the icon for you.