Here's a fix that I read about on Apple support that actually worked for me (although for some reason I keep forgetting it):
If you happen to have more than one cord to charge your 4S - for example, an older cord from a 3 or an iPod that you use in the car and the one that came with the phone that you use in the house - the older cord is going to cause some kind of mistake in your settings. They don't look wrong, but they behave wrong.
If you do a hard boot of the phone and make sure to only charge it with the cord it came with, it fixes it every time. So weird.