Yes they do. In my test lab I installed FCS ( Clientinstall.exe /nomom ) and made some changes to the Automatic scanning and Exclusions areas.
I then installed FEP (fepinstall.exe /s /q) and the settings that were in FCS stayed in FEP.
I’m sure the settings stay the same if FEP is deployed via ConfigMgr but I did see a video where they did not. I just had to test it out myself to make sure.