Hi Kamran,
You might think this would be very easy to implement but in fact it is not. So the benefit vs the development effort makes this a very low priority that I have no plans to work on any time soon.
The tabs are purely a client side javascript trick, there really are not any tabs as far as the server side code is concerned and all the content is on one page and when you post back it has no idea what tab you were on. After postback we do a redirect to the current url to get out of postback so that the form doesn't post again if the page is refreshed.
Updating the site settings is a relatively infrequent task in the grand scheme of things so a few clicks to get back to the tab you were on after updating is not a big problem in my view.
Best,
Joe