Trying to get this behaviour too, but not succeeding so far, so maybe not doing the same thing. Please see below and correct me.
1. I go to Settings, then choose Betting Options and make sure "Enable One-Click betting" is on. I then change the value in the drop-down list titled "By default all unmatched bets should be ... at In-Play" to "kept".
2. I open "Horse Racing - Todays Card", choose any UK race from there and view the market in Brief Mode (but also did this with Race Mode). I press Shift + the current back price to place an unmatched bet on the first selection. (If I just press the betting button the bet gets matched).
3. The bet then appears in the "Unmatched Bets" and its persistence is displayed as "Kept".
4. I then tried the same thing with football Match Odds and Tennis Winner market.
5. If I do this in, let's say, a Greyhound race, the bet indeed is cancelled after the beginning of the race, because here bet persistence is not supported.