I am not certain about this, but I think that these options no longer work on UEFI machines. GRUB does not have control over what options are presented if GRUB isn't the selected bootloader. This stuff is BIOS-only.
I have this working on a UEFI system. You select your Linux drive in the UEFI configuration (so the computer always boots into GRUB) and then GRUB will boot into Linux or Windows depending on the last saved option.
The GRUB_DEFAULT and GRUB_SAVE_DEFAULT settings don't affect the UEFI settings, they only affect the default boot option in GRUB's boot menu. From the UEFI configuration perspective, the boot option never changes and it's always set as the drive with GRUB installed on it.
