Skatter saves in the file only the settings of your setups. The actual data is generated each time you reopen your file, then stored in RAM waiting for the render engines to read it.
The reason it's done this way is because when you reach thousands of generated objects, the data can take A LOT of space. You can see it in your RAM usage, it can reach several gigabytes. Saving this in the file would mean that your file would get really really huge.
In very early alpha versions it was actually done this way, but I quickly changed it.