Help us out by posting the .mnu file you are using.
As I recall, I was never able to get persistence to work for me, as you can see from my notes below.
Also this was an earlier version, things may have changed in the new release.
I had to actually burn a cd, and then install to the appropriate location.
Here's how I boot it after a full install.
Change the (hd#,#) below to reflect your partition layout.
title =============== Kali Linux =========
# *** NOTES ***
# I want to install this to ptn 3 ext4, must install from cd.
# a flat file copy to sda3 stops at init, install from cd\(0xff) fails in grub, must use real cd
title Kali Linux amd64
map (hd0,1)/_ISO/kali-linux-1.0.5-amd64.iso (0xff) || map --mem (hd0,1)/_ISO/kali-linux-1.0.5-amd64.iso (0xff)
# root (0xff)
# kernel /live/vmlinuz username=root hostname=kali locale=en_us.UTF-8 keyb=us
# kernel /live/vmlinuz boot=live noconfig=sudo username=root hostname=kali locale=en_us.UTF-8 keyb=us
kernel /live/vmlinuz --ignore-floppies live-media-path=/live boot=live noconfig=sudo username=root hostname=kali locale=en_us.UTF-8 keyb=us splash noprompt vga=791
# initrd /live/initrd * starts installer *
Sorry I couldn't be more helpful.