When settings don't "take", that usually indicates a registry problem, which
is where many Word settings are stored.
Try starting Word with the /a switch (Start - Run - winword.exe /a). Enabled
backups, and see if backups now work. If they do, then close Word and
restart and see if the problem is fixed.
If the problem isn't fixed after that, then consult the following article,
paying close attention to the item about deleting the Data key in the
registry:
http://word.mvps.org/FAQs/AppErrors/MissingMenusEtc.htm
