Simple example: I used to be the maintainer of Dia, a diagramming program. It remembers what colours, line width, dash style etc you've last used, so you don't have to keep setting that. This can drastically reduce the number of steps needed per desired action, and reduces frustration, but it would not be great in a separate generic settings windows.

Thinking of my users (including myself) as goldfish is useful: if you've just done a thing, it's likely you'll do it again.