It saves all the settings done over the Router's Web-GUI.
Anyting you do in the /jffs/ and /mnt/ folders is not saved in the configuration file. A manual backup of /jffs/ is always a good habit, as well as your USB Stick if you have entware/optware installed.
In my experience a reset and subsequent restore from file will not affect the contents of /jffs/ and USB Sticks. But to be on the safe side be sure to have a backup.