I tried making the change over and over - one club at a time, along with numerous other attempts. I finally had some success by changing back to the default (ie. beginner) selection* for Driver, Fairway Woods, etc., saving the game/player, turning the PS3 off and then back on (several times), and trying to change the "In the bag" again. There is a glitch in the program, apparently. One of many. We've got to live with it until they get a patch out.
By the way - I had the problem with 3 of my set up players. I was able to fix all of them for "In the bag" and purchased club selection. One thing I couldn't fix however was the program freezing in the middle of the round in Season 2. I skipped through Season 1 and it must have screwed up something in the program code.
Pete
(retired Computer Programmer)
* I read about this change on this Forum. The person indicated that the club tuning should be set at default. This apparently takes the program back to the beginning for the clubs.