I came from other VSRGs. I played both stepmania and o2jam before mania, so I understand the problem you're describing, and I fully understand that when you're learning a new key mode you might want a slower speed, but my point is that adding the option to remember which speed you play which key mode in is more work than it's worth.
An option like this is very likely to be ignored by many of the people it would be added for. If you need to access the options menu to change things, that means that it would slow things down because accessing the options menu requires backing out of whatever menu you are in (for the time being, if peppy makes options globally accessible this will not be a problem). Further, new players are the players least likely to notice an option like this in the options menu.
For this feature to be useful to the people who would need it, there would need to be some way to notify new players that the option existed, or present it in some way that makes it immediately apparent that this is indeed something you can do, and explains the use it may have. This is extremely unlikely even if peppy were to implement this suggestion. Remember, new players don't seem to even realize you can change your speed at all. This would make things even more complicated for new players to figure out.
The alternative to spending time implementing something very few players would likely ever use is simply changing your speed when you play a different key mode. That is already less work than having to change your speed based on the BPM since it requires no math (to find the correct speed based on bpm) and would require less changes overall (it's easier to play a bunch of songs in the same key mode in a row than to try to play a bunch of songs in the same bpm range).
