I am not sure if you can save custom presets within the GIMP-2.9 official version. But in Parthas release you cannot. But here is a fix.

Add another folder named "filters" to the "portable" directory and you will be able to save all your GEGL op presets in a vb config file. This file is editable within Notepad ++ or Notepad. GIMP-2.9 auto adds the settings file when you save your first preset so no need to create one.

The official version most certainly does save GEGL presets automatically.
The "filters" folder is just yet-another sub-folder in the user's personal profile, ie.
on linux: ~/.config/GIMP/2.9/filters
on Windoze: C:\Users\yourname\AppData\Roaming\GIMP\2.9\filters
And, like the rest of the user's profile, that folder will be created automatically when you first install GIMP 2.9

If Partha's "portable" version does not create the appropriate folder in the profile storage (wherever that is on his "portable" builds), then perhaps you should take that up with Partha.

Or file a bug for the developers to fix.

It isn't a bug within the official version. I believe if it was an actual install from partha it would include the "filter" folder. As it would auto create on first install. C:\Users\Rod\AppData\Roaming\GIMP\2.9 is empty on my machine. But it is present. Which is strange in itself because i never installed GIMP-2.9 only Parthas portable. Unless his portable executable installer is placing the folder directory there. It shouldn't be doing this for sure.

But at least anyone using it ( the portable version) can quick fix it now.