When using the setblock command to create a structure block, the block state of the created block is always "mode=data", even if the block state is specified as something else. 

For example:

/setblock ~1 ~1 ~1 minecraft:structure_block[mode=save] destroy

Creates a structure block in the "mode=data" block state. The fill command appears to have the same behavior:

/fill ~1 ~1 ~1 ~1 ~1 ~1 minecraft:structure_block[mode=save]

Using the block's GUI does change the block state as the Data/Save/Load/Corner button is clicked.