Aliases D:

Did you click the "set" button in the oto box?

It's the second button under the text fields when you're editing the oto for a sound.

I'd show you a picture but I don't have UTAU right now and I'm on a Mac.

Set your computer to Japanese.
Set your Keyboard to Japanese.
Set keyboard to Hiragana mode.
Open OTO.ini file in Notepad.
Next to the = sign, write the hiragana for the romaji.
It's easy. All you have to do is type the file name, and it should look right. A finished OTO will look like this (only a few samples shown):

Spoiler:

Or, conversely, just do what you're doing and press one of the buttons above the big button that opens the editor. I forgot what it says, but it's the one that saves the settings. I think the other clears the settings... (The button Lei is talking about.)

Or you can just open the OTO in notepad and put in the hiragana by copying and pasting.

Make sure it saved 8D
And never X out of the OTO.ini screen! (Unless you mess up and accidentally delete stuff!) It will discard all changes.

I'm finally home so here's that set button if you use UTAU in Japanese (there's an English patch for UTAU, btw).

https://2img.net/h/i105.photobucket.com/albums/m223/Starlight_10/UTAU_Set_button.png

Run notepad with AppLocale, too. Set the language to run it to Japanese as you do with UTAU, of course.
Normally notepad.exe is in "C:\windows". Just use the search option if you can't find it.
That way you'll be able to use hiragana with notepad.exe.
Maybe you'll have to manually change the save type of the file to UTF-8 (save as... codification option) instead of the normal ANSI... But I'm not sure on this last part (just try and see what one works?).