OK, never mind, seems this is actually the default behavior.
If you choose to "Apply" values, those values are automatically loaded upon the next startup. Make sure however that you system did not crash before since this will reset all changes!
Also note that it is not necessary to actually start the Intel Extreme Tuning Utility front-end. XTU installs the so-called "XtuService.exe" which always runs in background and sets values on-the-fly.
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For further reference visit How to Use the Intel® Extreme Tuning Utility (Intel® XTU) for... .