The behavior is allowed for performance reasons, it greatly increases performance.
Have you contacted Kentico support directly?
Have you ensured your web farm environment is setup correctly (within Kentico and outside Kentico)?
After you have made your cache setting changes have you restarted or cleared the cache on the server? (recommended, otherwise your site will use the existing settings until cache is cleared at the interval specified)
Unfortunately, there isn't an easy setting to differentiate the Admin interface with the Content interface for cache. You can however set cache in the settings to 0 and then in each web part or zone, set the cache settings individually. In my opinion, not very ideal but it could be done.