Develop Changes Not Stored inside JPEG

The option to "include develop settings in JPG etc" means that LR should do so when XMP metadata is written out.

Writing XMP metadata out is not part of LR normal operation, which relies on the Catalog only. When you returned to an image and saw your previous edits, it was the Catalog which had retained those. And removing an image destroys that record... though if a second "spare" copy of the edited state has been saved alongside / into the image file in XMP format, that would be read in during some future reimport. Note that even if Develop settings are excluded when this happens, other kinds of metadata such as keywords are written. Also note that there are a number of LR image attributes that cannot be written to external XMP, but can only ever exist within a Catalog.

But this external XMP won't happen by default, unless/until "Automatically Write Changes into XMP" has been turned on in the LR Catalog settings...

...though it can still be made to happen on demand, with the menu option "write metadata to file" or else using keyboard shortcut Ctrl+S (Cmd+S on MacOS).

For a JPG, no separate sidecar file is made - it goes into the original file's header. So that's a file alteration which would otherwise not have happened.

[The decision on whether to write out XMP depends on several factors. For one thing, what's the usage context / scenario where this is going to be useful - also are you backing up your Catalog at sufficient intervals to rely on that in case of a problem. And it's a different judgement practically, for a proprietary Raw file than it is for a JPG / a DNG. In the former case, ongoing change is reflected only by the creation / updating of a small sidecar file. In the latter case, the modification date of the entire image file on disk updates every time. This may make an important difference e.g. for backup / file syncing. Say you've edited half the images since the prior backup: under JPG (or DNG) that means fully 50% of the originally imported data size would qualify to be backed up wholesale again. With Raw it's just some tiny files requiring that. But if you avoid writing XMP out at all - then none of this issue arises.]