I think I pinned down the exact behaviour:

Occurrence:
It happens only if you load the settings from the opening screen (Welcome to
WinHTTrack!) or from the last (Step 2 in the manual), not from the middle one
(project name and path selection). Moreover it doesn't happen if you load from
the first screen after having already been in the middle one (then pushed the
back button), nor if after loading from the last you go back to the middle;
for this last behaviour I guess the data in the middle screen controls remains
loaded and is not reloaded when stepping back, and is thus reapplied when
going forward again; if you then load another time the settings from the last
screen the problem does occur.

Description:
What really seems to happen is the name of the _parent_ folder of the folder
containing the options file is used as the name for the project, and the path
to this folder as the base path.
E.g. if you have an option file in "c:\1\2\3\4\", when you load it the project
name is changed to "3" and the base path to "c:\1\2".