Grub "Boot from previously booted" setting not working

Grub Customizer... oh no... that usually makes a mess of things.

Anyway, edit /etc/default/grub and make sure the following lines are there...

GRUB_DEFAULT=saved    # edit existing line
GRUB_SAVEDEFAULT=true # add this line

then sudo update-grub.

Update #1:

Rename your /etc/grub.dOld back to /etc/grub.d. That's why you were getting errors.

Here are the directory contents of /etc/grub.d on a 21.04 system. Should be pretty standard. Notice all of the mod dates are the same. On your system, different mod dates would indicate that something/somebody changed them. GRUB Customizer seems to have a backup/restore feature which might be helpful... maybe not.

-rwxr-xr-x   1 root root 10627 Mar 30  2021 00_header*
-rwxr-xr-x   1 root root  6258 Mar 30  2021 05_debian_theme*
-rwxr-xr-x   1 root root 18151 Mar 30  2021 10_linux*
-rwxr-xr-x   1 root root 43031 Mar 30  2021 10_linux_zfs*
-rwxr-xr-x   1 root root 12894 Mar 30  2021 20_linux_xen*
-rwxr-xr-x   1 root root 12059 Mar 30  2021 30_os-prober*
-rwxr-xr-x   1 root root  1424 Mar 30  2021 30_uefi-firmware*
-rwxr-xr-x   1 root root   214 Mar 30  2021 40_custom*
-rwxr-xr-x   1 root root   216 Mar 30  2021 41_custom*
-rw-r--r--   1 root root   483 Mar 30  2021 README

Update #2:

Well, I had a right to be concerned about Grub Customizer, it really messed up things.

There's a file in /etc/grub.d/backup/RESTORE_INSTRUCTIONS which details how to uninstall the changes made by GC.

OP manually unspooled some of the changes to get the machine to boot as desired.