Yes, settings are saved on a per-game basis. If there isn't a per-game cfg file, it will use the global settings.
As for the menu system, right now this is a big thing that needs updating. I will talk to Exophase about updating the menu system to be more dynamic in terms of resolution size and functionality.
Seperating the two versions would be bad since we have plans to merge the code from the GP2X version into the main gpSP codebase. This will allow instant updates to the GP2X version when the PSP version is updated. We're trying to keep the code as portable as possible while maintaining performance. A menu system can be built to suit both systems needs, I just need to get in touch with Exophase.