Sorry, I don't get it to work the way you described it.
If I try change Alpha pin to Numeric in Pin Properties, I got this message (Use 'Pin Reorder' to generate numeric pin names), but can't find it anywhere. (See image below)

Also for exemple, with your method, I can change a 'C' for a 'K', but this information is not saved to the FPX file.
I don't understand why I have some diodes in my FPX with alpha pin and others with numeric pin.

I'm lost...

Thank you!
Sylvain

When you update Global Options, it affects all footprint pin names. 

No Global settings are saved to FPX. They're applied as you open a footprint. 

If you want to rename a pin to custom characters, double click the pin and open Properties. 

The enter the pin name you want and it will save to FPX. 

If you change the settings in Tools..... to be numerical, design the footprint and add it to the library, the resulting info saved in there will be numeric pins.
So different footprint will exist in the same library, some with alpha pin and other with numeric pin.
It'a all fine.

So if you can have different pin numbering in your final library, I think that it could be a good thing to have the 'manual' change made with the popup right click on the pin (Change Alpha <--> Numeric) directly saved to the library.

Or I missing something...
Thanks again
Sylvain.

Change Alphanumeric to Numeric. 

If you change anything in the calculator panels, it resets to the default Options listed above.