Errors to Display: None - Settings won't save
Found it!

This is my first Drupal site I'm pushing to production. I still had the following lines of code in my settings.php as suggested on this site: http://drupal.org/node/1056468

error_reporting(-1);
$conf['error_level'] = 2;
ini_set('display_errors', TRUE);
ini_set('display_startup_errors', TRUE);


Those lines were forcing it to ignore the value in the database and always set it to Show All Errors. I commented those lines out and it's respecting the form value I choose now.