I too had this problem with previous versions of IOS, IOS 7 and IOS 8. The only solution, which I didn't like, was not to use iCloud. But, you must not have to have been using iCloud ever on your phone (or so I assume) because once iCloud is logged it, cellular setting doesn't work. Going back, I installed IOS 7 on my Iphone, AT&T, without ICloud ever turned on, and the cellular settings worked. I then installed it on 2 other iPhones, already running iCloud, and the cellular setting didn't stick. I then installed IOS 7 on another non iCloud phone, and the cellular settings worked. I stupidly assumed the issue would be fixed in IOS 9, so right after I installed IOS 9, I logged into iCloud and a few days later found out the cellular data didn't stick. Luckily I had data turned on for for the few apps I use cellular data for BEFORE the IOS 9 upgrade so it's not a big problem for me.
The solution for me will probably be to restore from pre IOS 9 back up, then upgrade again and NOT turn on iCloud, but I didn't try that yet and may not since being able to use cellular right now is not a hardship for me. If I do try it, I'll post the results here.
The other thing is even if I turn off iCloud, it doesn't fix the problem.
A random thought occurred to me. As soon as I set up iCloud with IOS 9, I noticed that cellular settings was set on, so I turned it off and all the other cellular setting (except the few I wanted on). Then I noticed cellular setting didn't stick, although settings cellular data stayed off. I wonder if it has to do with turning off the cellular data for the settings app.