@Epiqurien
Hi,
I went in-game and checked up on this for you (do note that I use the Origin version, but that should not matter).
I tried to change the controls but it wouldn't work either. At this point I also did not have the config.NFS11Save file. However, after just pressing some random keys on my keyboard during the "new key input" step, it suddenly worked.
In my case I changed my Accelerate from A to Delete. After that was done I checked in my game folder and saw that the config file was created. I was now able to immediately change all keys.
I hope this helps.