If you uncheck first 2 options in explorer panel settings under "Save on exit" (MC started with all 3 options checked), then click on 'save', then change folders in both panels and then exit MC with ALT+F4. After first restart folder paths will still be remembered as they were on exit. It works fine only after second restart (both panels resetted to C:).
So it is actually necessary to restart MC twice not just once as for some other stubborn options
and this could cause a feeling that option is not working.
If MC is started with those first 2 options unchecked and if you check those 2 options and then click on 'save', folder paths are remembered immediately after first restart.