When VISRETAIN is set to 0 the changes to xref-dependent layers are valid for the current session ONLY! Turn it to 1 to have the changes save.
Taken from AutoCAD help files:
0 – The layer table, as stored in the reference drawing (xref), takes precedence. Changes made to xref-dependent layers in the current drawing are valid in the current session only and are not saved with the drawing. When the current drawing is reopened, the layer table is reloaded from the reference drawing, and the current drawing reflects all of those layer property settings.
1 – Xref-dependent layer changes made in the current drawing take precedence. Layer settings are saved with the current drawing’s layer table and persist from session to session.