sounds like it loses configuration on reboot. This can happen if you did initial contact with a USB stick, and left that stick plugged in to the firewall. The next time it reboots it reads the USB stick again, tries to contact SMC and is left in initial config. If you have no USBs plugged in and the issue happens consistently, please open a ticket.
On a sidenote I would not recommend 5.9.1, go rather to 5.8.7 or 5.10.2 (or 5.10.3 when released soon). Note if you upgrade to 5.10 that SMC must then be already in 5.10 or 6.0.
That could happen sometimes, if you can see your firewall from SMC install or refresh policy, otherwise you ll have to connect on your firewall using serial and run sg-config.