I'm not familiar with the SODAQ card but it sounds like there is maybe SODAQ software controlling the modem and it sounds like the software is resetting the modem. Since neither the CFUN-0 or CEREG=2 command will persist there settings to NVM, that might explain the behavior your are observing.
There is no factory restore of the NVM on the SARA-R but AT&F resets the current profile to factory-defined defaults for the values described in appendix B of the AT command set datasheet. It's important to note that not every command displayed when you view the configuration with AT&V gets restored. Most notably, the +urat, +umnoprof, and +cops command do not get reset. Also, the SARA-R has only one profile and does not appear to support the AT&W command. I interpret that to mean that the factory default profile is restored on reset and that the AT&F command is really only of use for restoring configuration for an active session.
Long story short, yes you can restore some factory settings to default values but they probably aren't the ones you want to restore.