When the game is launched with the new Microsoft Store Launcher, some Game Settings, Worlds and Server List changes aren't saved properly. By looking on the files, looks like (at least for the worlds) the files are saved on the folder, but Minecraft can't read them.

I recorded a video (heavly compressed from 130MB to 8MB lol) of what I believe is the most critical part of the issue, showcasing  the world saving issues