Enabling the "Auto Connect", "Always UP" or "Save Password" options can only be done by editing the FortiClient XML configuration file (on non-managed installations.)
From the FortiClient GUI, go to File -> Settings -> System.
Backup the configuration.
Edit the backup xml configuration file.
Locate the VPN tunnel section.
Locate the [<show_remember_password>], [<show_alwaysup>], and [<show_autoconnect>] tags.
This is the Backup/Restore mentioned on the documentation.
  As you can see here the Restore button is greyed out. You need to unlock the FortiClient. Click the "padlock" icon on upper right corner of FortiClient console.
On the FortiGate, you can run the following commands:
config vpn ssl web portal edit <>
set auto-connect enable set keep-alive enable set save-password enable
end
After that, connect to the VPN from FortiClient and the configuration will be pushed from FortiGate. Disconnect from the VPN and you should see those options.