It sure sounds like a bug, if it won't save the setting. Curiously I've seen other people reporting the same issue with VS2022 and the latest extension for Analysis Services.
One thing though: it will refuse to do it with standard edition of SSAS. Are you using Enterprise or Dev?
If so, I think you should log it as a bug at the feedback site, given others have reported the same thing.
What also seems odd to me, is that if I create a package and add the task, when I right-click the task, the sequential or parallel options don't seem to be present.