Well, thats the behavior of FPGAs. When using JTAG configuration using SOF files, the device will loose configuration when it is power-cycled. Max10 devices have configuration Flash built into them. You have to use the Internal configuration method to store configuration data in this config_flash for the device to configure itself every time it is power-cycled.
Generate the POF file for the project and use the POF file in the Quartus Programmer. You will notice two sections CFM0 and UFM. Select CFM0 for configuration FLash and then program the Max10 device. This will now hold the configuration data even when power is cycled.
You can take a look at the following KB for more information: