No dialogs remember location. Modal dialogs are supposed, under both Mac and Windows standards, to come up centered on the active window. I don't think we'd change that just for this one dialog.
Just to clarify why this is particularly important for the Options window: it is a large window and since the window doesn't also remember the position of the scrollbar in its different panels, each use of the options window requires scrolling and looking for the option you are interested in. Since we usually TRY different options before settling for one, this repetitive process is annoying.
Case in point: changing the default colors of the environment:
Before I close the window:
After I close it and reopen it:
So add this to the Suggestion: Let the different panels remember the scrollbar location