Here is what I see:
Sanheiro is a walled city with a castle, market and shantytown. City Generator has to build a map with these features, because that's what Azgaar's generator requests. On the preview there is a map of a city with this set of features. So far so good, right? After clicking that link we get exactly the same map (probably just a bit more detailed depending on the settings) as on the preview: it has the same shape and with the same features - a castle, a market, a shantytown. That's the end of the case. That's how it works for me, hopefully that's how it works for you (judging by your images) and that's how it is intended to work.
Opening City Generator from Azgaar's generator doesn't affect those checkboxes because... why should it? The checkboxes do not describe the currently displayed map, they specify features for the next generated city which won't be related to that world map. OK, actually it worked a little differently before and checkboxes did get affected, but it was a bug or rather a glitch caused by my laziness and it's fixed now.
Did I get something wrong?