I remembered that this wasn't always the case, I have been able in the past to save APN settings, and they worked. So I downloaded an old version of CM (28/02) and set the APN settings without a hassle, then flashed the latest (16/03) over that and the APN settings stuck. They are still working. This seems to me like a bug in CM software.
Hope this might help someone who has trouble with APN Settings.
Okay so I am from South Africa on the MTN carrier, and recently while switching between CM and Omega Roms, I noticed I was unable to save the APN settings that enabled mobile data. I searched the internet far for a solution and many people have had this issue on MTN. When I set the APN settings in a Samsung ROM such as Omega, it works fine, I have internet connection. If I however save it in CM11, it won't save. I'd hit save and the list would just be empty. A smartphone without a data connection isn't exactly useful to me.