20.04 Natural scrolling not persisting between sessions

edit:

I just found a better solution / workaround to my original answer:

Add Option "NaturalScrolling" "on" to /usr/share/X11/xorg.conf.d/40-libinput.conf

In context:

Section "InputClass"
        Identifier "libinput pointer catchall"
        MatchIsPointer "on"
        MatchDevicePath "/dev/input/event*"
        Option "NaturalScrolling" "on"
        Driver "libinput"
EndSection

Then restart the X session (i.e.: log out or restart)

I've noticed the same; it's really annoying. Mine also "forgets" the setting I have for Caps Lock (make it an Esc), which drives me crazy.

The following two terminal commands will fix things

gsettings set org.gnome.desktop.peripherals.mouse natural-scroll true

And for my escape problem: gsettings set org.gnome.desktop.input-sources xkb-options "['caps:escape']"

(edit2) Since I've turned the settings off and on again in the terminal, they haven't magically disappeared. Maybe it's enough to just run the below once? (turn it off and on again :) )

gsettings set org.gnome.desktop.peripherals.mouse natural-scroll false
gsettings set org.gnome.desktop.peripherals.mouse natural-scroll true