Are you getting any error messages at the top of the page when you save, or do the values just not appear when you look at them again?
In general, Facebook actually performs validation on both of those fields:
* The User Email should be a valid email address
* The privacy Policy URL should point to a real, public page on your website. It also seems like they perform a scan of the page to check for a 'real' privacy policy. I'd recommend making sure the page actually has some legalese or at least says "Privacy Policy" on it to try to make sure it passes this check.
I hope that helps, but if not, let us know any more information you can.
Thanks,
Alex