Unfortunately, this is not something which I can reproduce. When logging in as a moderator under the ACP, I am able to switch these notification settings. Refresh the page, still logged in as the moderator. Then switch back to our administrator account and login as a new moderator. Do the same action, refresh and try again. All acting as it should and keeping the session.
I would advise clearing your cookies and local storage on your browser if you continue to have issues. However, make these changes via the user's profile in the ACP is the way to make these changes as an administrator. You will not want to login in as every single user 🙂