Since the Jugg arcana update the chat wheel phrases have reverted to default and aren't being saved when changed in the interface.
edit: remembered that you can set these with console commands, so for those affected, you can put lines like this in your autoexec file:
chat_wheel_phrase_6 12 //Go!
chat_wheel_phrase_5 27 //Skills on Cooldown
chat_wheel_phrase_4 26 //Out of mana
chat_wheel_phrase_3 66 //Game is hard
6 is north on the wheel and it counts up clockwise.