Some of the tools provided by RedHat, then you have to understand... it does not show the *CURRENT* level when first opened. It defaults to high. It does make the changes.
What you can do, is save it as high and look at the file "/etc/sysconfig/iptables" and notice what it says and looks like...
Now, save it as what you want, and lokk the the file again see that it changes. This is what you want.
Other than that welcome to the ever expanding world.
BTW, I replied to your other posting as well...