Here's the easy way to do it.

1. In Windows Explorer, make sure 'show hidden files' is on.
2. Go to Users > [username] > AppData > Roaming > Chessbase > Engines.UCI
3. The *.uci files are text files. Open the appropriate one with a text editor like Notepad or Notepad++. You can usually do this by right-clicking on the file and 'open with.'

Here's what my SF15.uci file looks like:

[ENGINE]
Name=Stockfish 15
Author=the Stockfish developers (see AUTHORS file)
Filename=F:\ChessBase\Engines\stockfish 15\stockfish_22041822_x64_avx2.exe
Priority=below normal
[OPTIONS]
UCI_Chess960=true
Threads=6

The key bit is Threads=x, where you can set it to whatever you want. I'm on an eight core machine, so I could set it to eight, but I've got it at six because I'm often doing other things while the engine is running.

4. After saving the file, go back into Chessbase and make sure it's doing what you want.

Also, fwiw, you are correct that two threads are needed for Leela, assuming you have one GPU. I think three are best practice if you have two running.

Poking around the internet I see reports of problems saving Stockfish13 settings in ChessBase, Aquarium, and SCID. No version numbers mentioned for the GUIs. I didn't search for other versions of Stockfish.

The default number of threads for Stockfish13 is 1. Putting on my debugger's cap, it's possible the various GUIs are sending the user's saved parameters to Stockfish "too early" in the load process, and Stockfish is reverting to the defaults somewhere along the way. Once the engine is fully loaded, you change the parameters again via the GUI and this time they stick. I put "too early" in quotes because, based on your report, the timing seems okay for other engines.

Create a new engine with your desired number of CPUs, and set that new engine as the default engine. If that doesn't work, create a new engine but *don't* set it as the default. It should at least save a few clicks switching engines vs changing the number of CPUs. If *that* doesn't work, contact ChessBase support.

As an aside, I thought it was best practice to not assign _all_ the cores to the engine, since the OS also has work to do. I wonder if the OS is reporting the number of CPUs as "two", and Fritz the GUI is taking one for itself, helpfully leaving the other "one" for the OS.