Why doesn't this mosfet saturate in a configuration and not the other one?
A real IRF540 has a Vgs(th) of 2V to 4V, so its quite possible that it would start conducting at the lower end of that range.
Its also quite possible that whoever typed value into the sim model you're using chose the low end of the range.
Vgs of 10V is only an example given to show an Rds(on) spec to try to sell the part.

So, with your relatively high value of R1, seeing the IRF540 saturate in your 1st circuit is not unexpected considering its possible Vgs(th) of 2V.
In circuit 2, as soon as the IRF begins to conduct the voltage across R2 will rise leading to Vgs no longer being the 3V you applied - consequently preventing the IRF from ever saturating.  

The resistor represents your load, so no additional resistor is necessary.  

Circuit 1 is the configuration normally used when you want the IRF to behave as a switch, because you can make it saturate with a voltage lower then your supply.