No, it will save all the settings. Once the power is restored, the bulb should automatically resume its last state (such as brightness and color settings) unless it was explicitly reset or the bulb was manually turned off via the wall switch.
However, if the bulb is powered off directly via the wall switch, it could lose its connection to the APP or need to be turned on again for remote control. If you're concerned about settings being lost, you can always reconfigure them using the Mi Home/Xiaomi Home APP after the power comes back on.