Great, but there are two differences:
- Windows 7 64-bit vs. Windows XP
- Local installation (1st option) vs. Client/Server (2nd option)
I found an old XP client and installed the Converter there using the first option.
Result: I' able to edit the number of maximum concurrent tasks from the first run of the program without any running task.

Conclusion:
The problem must be related with Windows 7 (64-bit).
But since running the program with administrative permissions does not help, what else is it?