Yes, my steps are from a fresh file:
Add terrain - Load file - georeferenced .tiff file
Adjust value at apex so I can see the heightfield in the viewport
Move the camera to a noticeable feature
Save
Quit
Reload
The heightfield is still visible in the viewport window and both georeference and Auto Georeference from file are checked.
Any chance you manually edited the georeference fields after you loaded your file? Reopening the file will cause those to revert to what was originally saved in the geotiff. (This is a problem I have had using UTM georeferenced files.
Two possible solutions would be to not auto-georeference and instead just type in the correct values, or save the .dem as a .ter file.