You most likely want to check them all. I'm not sure why any would become "unchecked" after checking them all and saving them. The way the plugin works is that I search all js/css in WP, all plugins, and the active theme. If you changed your theme after selecting some then maybe new ones became available for you to check. Did you try rechecking those that came "unchecked" and then saving it again?
Once you do that I would suggest clearing the cache in the cache tab and then visiting the site on the front-end. The caching doesn't take place until you've visited those pages after saving the settings. Also, if you have external scripts; which some plugins/themes will call, the plugin cannot find those and won't combine them. If you have a few external scripts then tools like gtmetrix will continue to say you need to combine scripts.
What is your site and I can look to see if it's working properly?