If you are talking about saving a profile from within the DCS Game, I am not sure if you are doing something wrong.
Do you understand that the game only saves the 'currently selected' controller for the current module that you are editing? It does not save everything all in one file for all modules.
For example:
If you had an x55 hotas, (which has a separate stick and throttle devices), and you also had rudder pedals. And you wanted to save them all for the F-15, you would have to do this:
Select the F15 module in the Options/Controls
Customize all of the controllers how you want.
Select any command box/cell under the x55 stick and click the 'Save Profile as' button at the top. This will only save the control assignments for the x55 stick for the F15 module. So name the file: "F-15 x55 Stick"
Next, select any command box/cell under the x55 throttle and save that profile as.. and name it F-15 x55 Throttle
Next, select any command box/cell under the rudder pedals and save that the same way....
There, you have just saved your control assignments for one module. Now do all of that for every module that you have and you are done.
It's a lot of work, but that's how it works. You cannot save all modules/controllers at one time.
Hope this helps..