How to keep luci-app-sqm started and enabled when rebooting the router?

Looking at your /etc/config/sqm the file to look for would have been /var/run/sqm/wlan0.debug.log but only after first running "SQM_DEBUG=1 SQM_VERBOSITY_MAX=10 /etc/init.d/sqm stop ; SQM_DEBUG=1 SQM_VERBOSITY_MAX=10 /etc/init.d/sqm start". But this is most likely not going to help...

My theory is that you want to shape a wifi "guest" network, but wlan0 probably is also a member of br-lan, and if I recall correctly we do not get hot-plug events for bridge members, but sqm start requires hot plug events. I fear I have no good solution for you...

Best Regards