I have the same problem.
Enabling Secondary Click in the Trackpad Options in System Preferences will select the option, but the next time I check in System Preferences, it got unselected again. And no surprise, double finger tap doesn't work. And the secondary click tutorial video is missing too.
Lion with MacBook Air 2,1 (Mid June 2009).
I've some additional info to add though:
1. The problem only occurs for one user profile created after the upgrade to Lion. Not another one and not the one which was migrated. I.e., other users can still two-finger tap!!
2. Therefore, a deletion and recreation of a user will most likely cure the problem. I don't think an entire clean install is in order. But I don't recommend to do this: As it may happen again and over again 😟
3. Even for the user profile with the problem, two-finger tap *did* initially work just fine. It broke some time after. Lion is the most current patch as of the date I write this.
I really suspect there is a glitch in writing some user preferences file. Anybody knows which file this preference is stored in?
And APPLE: please fix.