cfg80211: Save the regulatory domain when setting custom regulatory

When custom regulatory was set, only the channels setting was updated, but
the regulatory domain was not saved. Fix it by saving it.

Signed-off-by: Ilan Peer <ilan.peer@intel.com>
Signed-off-by: Luca Coelho <luciano.coelho@intel.com>
Link: https://lore.kernel.org/r/iwlwifi.20201129172929.290fa5c5568a.Ic5732aa64de6ee97ae3578bd5779fc723ba489d1@changeid
Signed-off-by: Johannes Berg <johannes.berg@intel.com>