This issue has been reported to Engineering and is being looked into.
"looked into" obviously does not mean "will fix". Unfortunately this bad behavior still exists in VX.2.3 ...
Same issue is valid for different settings as well, e.g. full screen cursor, ...
User should be able to decide which display control settings are local to the scheme, and which ones will automatically be distributed to all the other schemes inside the design. This could be handled by a checkbox behind every setting.
I just hope that scheme only save for visibility of layers (ON or OFF) but please not with colors