I actually found the solution to this one by accident!
You have the open the "ggxxnet_config" file as administrator. I had the same problem yesterday and couldn't figure out a solution. I did everything, tried making my own pal folders, but nothing helped and it didn't save the palettes at all. Anyways, for clarity, here is the simple process in steps for ya.
1. Make a simple new folder into the default game directory and simply name it "pal"
2. Right click on the "ggxxnet_config" file and choose "Run as administrator"
3. Edit your favourite characters colours as much as you want (in my case, Zappa).
4. Click on that little Save button and click Ok, it should create a new file into the "pal" folder..aaaand that's it!
Then just go to the game and select your character with the appropriate button and show us your artistic talent! If ya wanna delete the edited palette, just delete the file in the pal folder and it should revert back to normal~
