Should be part of project workspace (desktop in Borland terms), dont you think? I suspect answer is NO, but if it is not so, please include details how to configure it.
Delphi stores breakpoints in the [Breakpoints] section of your project's .dsk file. Make sure that file is writable, and make sure your source-control system isn't accidentally clobbering it.
A couple of years ago, someone asked about the opposite problem: Constant breakpoints? How to remove them?