Hm, this is highly unusual.
You have the process right, press (and release) the Store button to enter the Store Menu. Then press one of the 16 continuously lit pattern buttons (the two button rows) to store the pattern in that slot.
To recall, press (an release) Load button to enter Load Menu. Then press one of the 16 continuously lit pattern buttons (the two button rows) to recall the pattern in that slot.
I haven´t heard of problems with this before. Can you store the Global settings? (this is done by exiting the Global menu by pressing the “Global” button).