I noticed this today. Turning on the Game Mode makes the green circle in the security center window turn yellow, but when I go to Settings, antivirus protection is still set to Agressive, the way I left it. It doesn't go to Permissive, as it's supposed to be.

And another issue that's been there for a long time is that after turning the Game Mode off, sometimes the firewall remains in Game Mode instead of going back to its previous mode.