'Use mobile data for' toggle changes won't save on iPhone 6, iOS 9.0
As a troubleshooting step, I often will back up an iPhone to iTunes and then the cloud (just to be safe/sure) and then erase all content and settings.

Settings app > General > Reset

At that point, set up the phone as new and don't sign in to iCloud. I opt in to all the other settings and then go check the setting that was "stuck"

At this point you will know if the setting works or the phone needs the OS restored. If so, do the restore or seek service. When that's done, you can either decide to erase all content and settings to then restore one backup or if you want to just start downloading your apps, signing into iCloud and moving forward with a base that works.