The setting only "kicks in" when you launch SH3 via the SH3Cmdr interface. In other words, opening SH3Cmdr, setting a value and then closing SH3Cmdr will have no effect on the game. But I assume you are launching SH3 via SH3Cmdr...
The density value is one of the last values written into the game, so provided the option is selected, there should be no problems. Of course, if you have a mod installed that modifies scene.dat, and somehow the file is corrupt or the content has been incorrectly changed by the creator, you may have problems. So, did the problem commence after installing a mod that changed scene.dat? Did SH3Cmdr give you any "Unable to write to file" errors? Apparently there's a mod out there with a read-only scene.dat included which is a real pain.