ArcMap saves the snapping environment inside of the map document. However, changing the version a layer points to changes the layer's source. When a layer's source changes, snap agents set for that layer are removed.
Changing the version an ArcSDE layer references in ArcMap is similar to changing the layers source.
Once the version has changed, snap agents that were set for that layer need to be added from within the snap environment dialog.
Alternately, you could write a VBA script to accomplish the same task.