I've had that set full screen mode every time even though the setting was saved bug on my DX since day one. Never had a problem with part of a previous image still being visible when viewing the next image though. For me the most annoying part of image viewing on the Kindle was the amount of time it would take for an image to load... some images would load very quickly, while others would take a few seconds.
I use my DX mainly for manga. I switched to using pdfs and it is a lot better than images. Load times are both fast and consistent, no annoying full screen bug (although you don't get true full screen like you do with image mode), and you can jump to a page.