You could also run the MSCONFIG.EXE program from the Search Menu in W10; and on the General Tab, under the SELECTIVE STARTUP radio button, uncheck the 2nd item, LOAD STARTUP ITEMS, click OK and restart your computer. If the File Explorer options now "stick", then one of the programs in your Startup could be the culprit.
You can then bring up Task Manager, go to Startup Items, and disable the program items one at a time, reboot your computer and retest. Continue with this process until the File Explorer options begin to fail again-and that last program could be the program that's causing the issue. If none of this works; you may have a virus/malware infection; scan/remove all viruses and spyware viruses...