These games need to be loaded through the softwarelist for the parameter settings to be applied.

It works fine in MAME, I don't know if there is a problem in MESSUI.

eg. on MAME:

mame.exe ggm sandy

then after a few moves, do as the manual says and: press Rank, set switch to MEM.
Then in the Tab menu, go to File Manager, and load a new module from the software list.

Another way: simply exit MAME after step 1, and then:
mame.exe ggm capa

Followed by MEM switch to ON position.