This might be a known bug, I don't know but hopefully some early beta-tester knows.

Anyway, shadows are stuck in the "high" Setting. If I change to for example minimum it is still high ingame and when I go back to the launcher after having started the game it says high..

And yes, I clicked Save and everything, double check before I start the game and it says minimum.

This is annoying because it kills my fps

I have the same problem, I would prefer it on medium, but always gets reset to high when I start the game.

It also does the same thing with lightmaps, it's always getting set to very fast. I haven't found a solution yet, so I hope Nadeo does something for the final release.

If I set shadows to "Low" instead of "High" I clearly notice a difference..

hmm, at first sight I don't have any problem with those things
I can change all and they stick like that ingame as I saved them

As I've heard in the current beta all shadow settings except for very high have the same effect.
Fortunately my laptop can play this on max settings