>>How do you change the font exactly? If you changed it successfully and click Save without exiting the report, what happens?
>
>I highlight the label. That label is within the header section. Once highlighted, from the menu, I select Font and change it from there. When I change it in the interface, it is reflected. It's when I go back in the report designer again that I loose it.

I tried editing the label and highlighting it then changing, as well as the 'classic' way of doing this: clicking and selecting the label then changing the font for the whole control. In both cases, the change is reflected right-away in the designer. I click on Save, and it still stays changed.
When you say "Interface" are you refering to the Font Picker dialog?