Problem fixed. Read this Hint about http://www.arturia.com/evolution/smf/index.php?topic=3585.msg12028#msg12028
New Preference Path and this http://www.arturia.com/evolution/smf/index.php?topic=3650.0
In my Case, i had a fresh installation from 2.5 and later 2.5.1. In Both Versions is the Bug, that no folders are created inside Library. So you have to create this by your self. Create a "Arturia" folder inside your Library and create a "Analog Factory" folder inside "Arturia" folder. Now every preference, Snapshot, Fav and presets can be saved.
I mean good to know. But it suck that this bug doesn't fixed in 2.5 or 2.5.1. New users have to search the Forum to find a solution for this problem. Arturia Dev Team! If you cant fix that problem, so put this information "How To" as an Information to you Manual, or how ever. But better fix this in the next Update, that makes your software a little bit greater!