The setting is actually saved into the .user file on each project. This is a per-user XML file that contains some settings about the project (while others end up in the project file itself). The full relevant XML parts look something like this:
<Project ToolsVersion="12.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
<ProjectExtensions>
<VisualStudio>
<FlavorProperties GUID="{349c5851-65df-11da-9384-00065b846f21}">
<WebProjectProperties>
<StartPageUrl>ACTUAL PATH GOES HERE</StartPageUrl>
<StartAction>SpecificPage</StartAction>
<AspNetDebugging>True</AspNetDebugging>
<SilverlightDebugging>False</SilverlightDebugging>
<NativeDebugging>False</NativeDebugging>
<SQLDebugging>False</SQLDebugging>
<ExternalProgram>
</ExternalProgram>
<StartExternalURL>
</StartExternalURL>
<StartCmdLineArguments>
</StartCmdLineArguments>
<StartWorkingDirectory>
</StartWorkingDirectory>
<EnableENC>True</EnableENC>
<AlwaysStartWebServerOnDebug>True</AlwaysStartWebServerOnDebug>
</WebProjectProperties>
</FlavorProperties>
</VisualStudio>
</ProjectExtensions>
</Project>
An important aspect of this file, as well as the project file, is that they don't get saved to disk until you press the "save all" button, or compile the project or quit Visual Studio, it remains in the old state until then. That's why any external tools fail to find it. Just force saving and search again and you'll find it.
A bit unrelated, but also note that it's often recomended not to commit the .user file into source control so if you're using this setting be sure to set it again whenever you checkout a new working copy. Otherwise other copies will still get the default.