What host OS are you using? I'm not seeing your problem on my Windows 7:
- change a component (the inspector gets a '*' to mark that it is modified
- press the build/hammer icon
- settings get automatically saved
- processor expert generates automatically code
- build is kicked off and builds the project
Can you check that you have 'save automatically before built' set in your workspace (should be enabled by default) (menu window > help > preferences):
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And that your project properties show this:

I hope this helps,
Erich