I really don't understand what you're trying to achieve with that code. You have a Click event handler for a menu item in which you create a completely new menu item and then test its Checked property, and then you save your settings. Have you set the CheckOnClick property of the menu item to True so that it actually changes its Checked property when you click it? Have you bound the Checked property to the application setting? Why are you creating a new menu item and texting its Checked property instead of testing the Checked property of the menu item that weas just clicked? Why do you need to save the settings when it will done automatically when you exit the application?

Finally, and less importantly, that is not a good name for the setting. It's a Boolean, not a ToolStripMenuItem, so naming it "DisplayWarningToolStripMenuItem" does not describe what it represents. It should be named either "DisplayWarning" or "DisplayWarningToolStripMenuItemChecked" because those are the two things that its value actually represents.