My roommate has the same problem after upgrading their iPhone 4S to iOS 9.0.1. They went to the carrier yesterday, but the carrier couldn’t figure out a solution. Their suggestion was to take it to an Apple store.
Before spending time at the Apple store, I decided to see if I could resolve the problem. So, I reset the Network Settings to see if that would resolve the issue, but it did not.
I have an iPhone 5, but haven’t upgraded to 9.0.1 yet. However, I’ve had similar issues with various apps that did not retain their settings. In those instances, the suggested solution was to Back-up, Delete App, Install App, etc. Often that process worked, but I couldn’t venture a guess at what to delete to maintain the settings under Cellular Data.
I’m hoping to find a solution within the community. If not, then I’ll try a complete reset of the iPhone 4S before going to the Apple store.