A little checking round and this turned out to be a problem with the configuration of Citrix XenApp which is clearing down the user profiles each time the user logged off.
Management Reporter stores the users default company in a configuration file located in %LOCALAPPDATA%\Microsoft\Management Reporter\ and this data was being cleared down each time they logged off Citrix. What keyed me into this being the problem was when I got a user to close Management Reporter and reopen it without logging off Citrix and they did not then need to select the default company; they only needed to do this after logging all of the way out.
The solution to the problem is to change the configuration of Citrix so that the configuration file is not deleted when the user logs off. Once this is done, the Default Company will be remembered.