Are you using an OBDLink MX+ adapter or other cable (e.g. the "blue cable") when doing your Proxy Align? The Radio is on the secondary CANBUS network. It requires an adapter (e.g. MX+) or adapter cable capable of doing a crossover on 2 of the pins else the Proxy Align will fail. What OBD adapter are you using?
When you enabled the heated seats (BCM-Configuration Change-Heated Seats-Front) you're correct, it saves it into the BCM but as you pointed out, this was already set. Your radio needs to receive this to display the icons I believe and you need to get past the radio (telematics) unit proxy failure.
Question, when you mean "My Settings" do you mean personalization, radio stations etc. or do you mean your car features. (e.g. heated/vented seats, heated steering wheel, auto-dimming mirror (for any of these items equipped).