The post is a bit old, but I'll answer anyway. What you describe is not a problem, per se, but a design decision made by Sony. The reasoning is that if you ever switch to a non-progressive display, you won't be able to see anything, and won't be able to select interlaced again. If the progressive setting were made persistent, imagine deciding to move your PS2 to the bedroom TV, or sell it to someone else, or take it over to your friend's house. If you forgot to first switch back to interlaced - while still connected to a progressive display - you'd be kinda hosed.
Granted, there may have been other ways to approach this problem, but reverting to interlaced as a lowest-common-denominator seems reasonable.