I can't tell you why it's happening. But to avoid the issue, just use the internal monitor for editing. Only use the external for final color grading and review. Then you will only have to switch it once.
Thanks Jim, I have used a second monitor now for probably 10 years now, so it is a little hard to do it that way. Besides I think it must be something simple they left out of the DVCpro presets or editing modes. Every other preset does not beahve this way. What luck!
You know, CS4 had this issue as well with the DVCPRO HD presets (at least, those are the ones I used)--I completely forgot about it until just now. As you found, other presets work fine, but the external device definition doesn't seem to "stick" with the DVCPRO presets. This is definitely something worthy of a bug report...
CS3 Also had it, I remember back two years ago before I bought a Blackmagic Intensity pro. Once I started using the intensity, well you know I did not have to use that method anymore and forgot about it. My intensity with CS5 is causing alot of crashes right now, so I switched back to the output to second monitor method.
It is hard to beleive this has gone unnoticed over three releases of premiere. I will give a Bug Report.