You need to connect the USB cable in order to configure the vision sensor. The wireless only allows you to access a live-stream from the camera. In order to do so, navigate a browser to 192.168.1.1 after connecting to the wireless.
You already saved it to the sensor, there is nothing more to do to save it.
My only experience with the V5 Vision Sensor is with VCS. VCS C++ Pro creates signatures in the robot-config.h file after exiting the Vision Sensor Utility and then loads them into the Vision Sensor every time the program runs. I do not know if PROS uses this same process. If not, you may need to configure the signatures in PROS.
The PROS team is working on this. Right now the only theorized way of getting color codes to work is to have a VCS program run before the PROS program that loads the color codes into the Vision sensor.