OK.As I mentioned in my post #6, it is now clear that the problem source is not in the pendrive itself but emanates from your system.
In your other post you had said that Xyplorer gets the Volume Label from Windows and we can absolve Xyplorer, if on other pendrives the Volume Label changes stick.Unplug and plug your USB device many times after Volume Label change and confirm this.
Now assuming Xyplorer is not causing this, I would naturally suspect your Router software the one that writes the easy-set-up on your pendrive.
I now presume that when you jumped with joy
when the first time volume Label change was truly shown in Explorer, at that point the easy-set-up program, which had owned your specific pendrive by its identity already, may have put in an autorun.inf which will then proclaim it so during subsequent plug-ins.
So check your pendrive to see whether there is any autorn.inf file.( If need be unhide all hidden files and protected system files.)
I hasten to add, at this point, this is only a conjecture for I know nothing about what router you are using and the easy-set-up and where in the easy set-up the pendrive details are stored and whether it is first of all.
Check and confirm. ( I will be out of internet coverage for the next few days in my village.)
Request other experts to take over.