Is there any reason why it is not possible for Gargoyle to remember its configuration after an upgrade? It is possible on almost all firmware (including openwrt). This would make the upgrade process so much more pleasant.

Yes

SSH into your router and edit the file /www/utility/do_upgrade.sh

On line 47

change <shell>

    /sbin/sysupgrade -n /tmp/up/upgrade  2>&1 | awk ' $0 ~ /eboot/ { print "<script type=\"text/javascript\">top.upgraded();</script></body></html>" ; } '
    </shell>
    

to

<shell>

    /sbin/sysupgrade /tmp/up/upgrade  2>&1 | awk ' $0 ~ /eboot/ { print "<script type=\"text/javascript\">top.upgraded();</script></body></html>" ; } '
    </shell>  
    

The only difference is -n