After testing, I confirm the credits bookkeeping and game stats are reset after every reboot, however volume level is saved.
Maybe they aren't stored in the same location, and if the former are saved on the HD, there must be a problem in the chain with either the IDE to SD adaptor, or the 2in1 microSD switcher. I should also check that the "read only" switch on the microSD to SD adaptor wasn't activated by accident

Maybe the latter is saved on a sram in the audio section of the board.
I was thinking, I should dig into mame to understand where are stored the settings, and found they are stored in a dif file, but it doesn't tell me how the data is organized into the file
and to which device his content is related to...
Ok, from the mame doc "Hard drive difference files store data that is written back to an emulated hard disk, in order to preserve the original image file. The difference files are created when starting an emulated system with a compressed hard disk image."
So, because after playing KI, the only modified file in the mame directory is kinst.dif, I can say for sure that settings, high scores and credit bookkeeping is stored on the hard drive. It confirms there's a problem writing back to the microSD.