Good question. I just saw an expert in the hallway and asked him. The basic answer is that your preference is stored in a cookie, so the preference would be forgotten if you're clearing cookies. If you still have the same cookie and yet the "no country redirect" isn't sticking, that's a bug we could dig into.
By the way, I asked why the "no country redirect" isn't stored with your Google account rather with a cookie. The main reason he gave was that whether to do a country redirect is one of the first things we decide, and it's faster to use a cookie for that than to go looking up the user's account setting. Or at least, cookies have been faster up until this point. Hope that helps explain things.