The reason is the grub.env which is on a filesystem not writable by grub and Manjaro grub config defaults to writing the selected entry to grub.env. To work around it edit your /etc/default/grub and change from
GRUB_SAVEDEFAULT=true
GRUB_DEFAULT=saved
To
GRUB_SAVEDEFAULT=false
GRUB_DEFAULT=0
rebuild grub config
sudo grub-mkconfig -o /boot/grub/grub.cfg
Depending on your requirements you may need to change other settings as well.