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WMS layers are listed in a tree view in the Layer Properties' Layers tab. WMS layers can be organized into groups. These groups can be interactively collapsed and expanded within this tree view. All WMS group layers are expanded by default. If some or all of the group layers are collapsed and the dialog box is closed, the next time the dialog box is opened the tree view will revert to its default state in which all WMS service groups are expanded.
ArcMap is not persisting the state of the tree view.
This is a known issue. There is no workaround.