It doesn't remember last settings for me either (2.79b). Shift+R works fine, but not when following this video because there are other operations in between the two insets. F3 (Recent History) is an alternative to repeat an operation with settings, but if you repeat operations, it might be hard to distinguish which is which.
Hey nnyanginator , since then I found that Blender only remembers the settings if you input the numbers manually after confirming the operation with the mouse. Hope that helps!