Hello @sorcelyne13, and welcome to the forum!
Here, you can edit an existing palettes properties, after you created the palette via the button in the red circle.
At least for me, this works flawlessly. It is saved to the palette I created for this, and this palette saved also without issues into the test-document I created for this. Also, it is no problem to edit the palette after creation via the button I point to in the first screenshot:
If you should not get it working this way, then please report back and state the version of Windows you use, as well as the version of Krita that you use.
Michelist