Heather
I'm sorry to hear that you're experiencing that. I was not able to reproduce this behavior. I created a new site, opened the Theme Builder, set my colors to as you show above. After clicking "Save" (not "Apply Changes") I see the following:
This is a known bug that those changes aren't applied on the page unless you press the "Apply Changes" button, so I had to reload to see the changes take effect. After reloading the page, the "Theme Builder" panel looks like this:
Currently, all values are required and default to #000000 (black), which explains why the Page Background Color and Link Color are set that way. However, the colors I input for Brand Primary Color and Text Color did persist as expected.
Can you share anything else about your environment/data (browser, org, site, etc)?
Thanks.