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Because it's really uncomfortable to re-add my settings each time the script updates.
This isn't possible, at least if you want the script to work on local files. I really wanted this as well, but it's not possible for user_scripts to use the browser's localStorage or to set cookies from local files. Perhaps there's a way to export them from the script as JSON or something....
I'll add a note about this in the script description.
Re: @gaspar_schot:
What about GM_ functions? It's not the browser's localStorage, if I got it right. And works at least for one - the most popular - userscript manager. Even if it won't work for some others, it can be a good option for most of the users.
GM_setValue is localStorage, unfortunately, so the script won't have access to the settings on local pages, which was my primary use case. I think it would be confusing to have the settings work on web pages but not locally.
But I think there could be an "Export Settings" menu item, with possibility of adding a default path to the settings file in the script and using an XMLHttpRequest to read it every time the script is loaded. Not sure how soon I can get to that, however -- my development time will be limited for the next few weeks.
Added Export Settings menu item in version 2.2.0.