I'm using MathJax-LaTeX 1.2.1, having just migrated from 1.0.
Problem: un-checking "Use MathJax CDN Service" does not work at all.
I had to run this MySQL query to disable it:
INSERT INTO wp_options (option_name, option_value) VALUES ('kblog_mathjax_use_cdn',0);
It seems the checkbox is simply not getting saved.