settings controls whether PyMOL writes CONECT records for all bonds, or only for HETATM bonds.
PDB files by convention do not contain bond information for standard polymer residues (ATOM records), because the connectivity is known for those.
If a PDB file contains at least one CONECT record for two atoms from ATOM records, then PyMOL will set pdb_conect_all=on as an object-level setting, to again write CONECT records for all bonds when saving that object to a PDB file.
fetch 1rx1, async=0
set pdb_conect_all, on
save 1rx1_conect_all.pdb