The DOS version of Scorcher (SCORDOS.EXE) does write the user config and high scores, but it later overwrites them with defaults. I don't know if the Windows 95 version (SCORWIN.EXE) has the same problem, but it wouldn't surprise me if it got preferential treatment in quality assurance.
The game tries to read the user config and score files at startup by opening them in read-only mode, and uses defaults if the files are missing. When it later wants to write the files it tries to open them in read-write mode, and if the open fails it creates them. The user data is written (good) to a created file, but the defaults are written (bad) to an existing file that is opened. This seemingly clear-cut behavior can be exploited to make a workaround for the problem: simply cause read-write mode open calls to fail so the file gets created. Actually, an existing file will be truncated to zero length by the create call, but the game doesn't care about that distinction.
Place the attached workaround program where Scorcher is installed. It's named SCORDOS.COM so you can start the game by typing "scordos" as usual; but the name is also good to prevent the mistake of running SCORDOS.EXE directly, because that would result in the defaults being written to the files!