Your correct Fud, that should not happen. Even if you turn off the camera and change the lens, the settings will remain the same unless the new lens has a lower minimum f stop, in which case it will keep the speed and change the fstop to the minimum (maximum diaphragm opening size I mean). Even if you change the setting to S or A and half press the shutter, changing the exposure, it will revert to your original settings when you reset the camera to M.
The exposure meter still works when in M but does not change the settings, it only flashes what exposure compensation is required for a correct exposure, on the LCD panel.
I am sure you already know all this, I don't have to tell you, right. So I can only conclude that there is something wrong with the camera.