No it doesn't, at least not if the update isn't already a month overdue
But a future Windows update will reset them without informing the user.
I've done 3 years worth of updates in one day cause I needed too. Pretty much everything was reset including registry edits, but the privacy toggles were one of the few things that stayed persistent. Maybe it's a EU special feature (wouldn't be the first), but at least here they won't change back silently.