There is no perfect way it seems to automatically collapse (save settings) on pages in Microsoft OneNote 2010. Whenever I close my notebook and re-open it, the pages are all expanded again.
Fastest way to collapse your pages again in OneNote 2010
Read the instructions below on the fastest way I have found to collapse your pages again.
Open Microsoft OneNote 2010. Your pages will all be expanded again.
Hold the shift key and select the top page, and then while holding shift still, click the very bottom page. This should select all of your pages.
CTRL+ SHIFT + *
This should automatically collapse every page selected. I really wish there was a way to save this setting. Maybe in the next version of Office.