I just ran into this myself.  Not sure if there's a problem with the Raspbian Config editor, but I did manage to find a solution that seems to fix the issue across reboots and shutdowns. 
The configuration for Wifi Country is kept in the file

/etc/default/crda

Edit the line in the file and add your country (US in your case) after the equal sign on the last line of the file.

REGDOMAIN=US

save the file and reboot to see if it works.

This is a root owned file - so you'll need to use "sudo" when editing.  If you're not sure how to edit it - try this
sudo nano /etc/default/crda
(you'll be prompted for your password)
make your changes
then press [Ctrl]+[x] to exit and answer 'y' to save your changes.
 

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