You can save fan curves, it's just a real finicky pain to do so.
Firstly, make sure you're you have the right profile selected. Basically after every change, you have to hit the little 'Save' icon that's underneath the Profiles list (next to the bin icon). Hitting Apply instead will revert all changes for some reason.
Hit user-define, save, make your curve and hit save, and hit save again.

Also, I've seen a few people getting this, but if you open up the curve editor and the last node is out of the UI/inaccessible, you have to add a bunch of nodes in random spots to the far right, save the curve, close it and re-open it. Eventually it will be all over the place and the end-node will be there somewhere. Hope this helps.

It turns out that the gpu tweak II actually DOES save your custom fan curves. The problem is that this program is kinda glitchy, however the solution is rather simple and it always work. -> Make your custom profile and set up your fan curves, then save. Obviously it stays that way UNTIL you click away on another profile or if the program restarts. When that happens, simply click away from the custom profile to another(w/e which one), then click back on your custom and check your setup, it's all back the way you set them up.