Don't know if it has anything to do with it, but is your config read only? Maybe that's it, otherwise I wouldn't know.
idd could be the problem.. to be more specific (since you just installed the game):
go to your game folder: C:\programfiles\sof2\base and search for the sof2mp.cfg (also in sof2\base\mp folder) and rightclick on the file, properties and uncheck the Read Only mode. Then go ingame and try to change the PB setting again and connect to a server.