Reason for ticking all boxes in the EXCLUSIONS section in the first .jpeg is to protect the web browser from attack and unwanted changes to the browser being used.
For example, a "script not responding" error box will pop up from time to time (likely referring to Flash plugin) but as the process is being run virtualized, no damage or changes to it can occur in the real system. Simply clicking "Stop script" is enough to prevent a change and then, when I close the session, I check to make sure that all data in sandbox is actually deleted. Sometimes it's not, so I clear it then.
Seems you are running a part of your browser not virtualized by not having the boxes ticked? If so, there is a workaround. Workaround for saving bookmarks, favorites, or anything else, etc., is to, for example, notepad the url, close and terminate the Safe Zone Browser session, and open the actual real browser you want to save your bookmark in from the notepad. Close the real browser and resume Safe Zone. (Security outweighs convenience.)