I followed your instructions and everything works fine on my end.
1. I have the font TTF in the project.
2. Opened the Font Maker, chose the TTF, hit Create the Font (not putting it into an atlas).
3. ALT_SHIFT_L, label shows up using the font.
4. Closed Unity, didn't even bother saving anything.
5. Opened Unity, ALT+SHIFT+L, same font get used, everything shows up properly.