I'm sure you are saving your settings after you exit the BIOS? Also have you adjusted your RAM voltage to accommodate the faster speed? Your motherboard definitely supports that RAM speed, you may need to OC your CPU as well to make sure if can manage your RAM at that speed.
I thought 1866 was supported w/o OC. I did OC the CPU and that pushed the RAM up some from 1600. Biostar stated 2000(maybe) if OC but OC was not specified on the 1866. My bad. I wanted to buy a Gigabyte anyway. Thanks. I used Biostars "generic" overclocking program.