Why doesn't pg_dump include all database SETtings?
Database (and also role) settings are stored in pg_db_role_setting. Like pg_database, there is only one copy of pg_db_role_setting per cluster. So those settings are not stored in database. They are stored globally. 

Try to add --create parameter to your command. With this, database create  script will be added at the beginning of the dump file with the configuration.