Is it possible to make the clock to show
0900 instead of
9:00 for 9AM? I’ve already tried changing the format under System Preferences → Language & Region → Advanced… but the setting doesn’t save.
It cannot be done.
It looks like you can, but in fact it doesn't affect the menu bar clock.
System Prefs > Language & Region > Advanced... > Times
Changing the format in here, you'd expect it to affect the menu bar clock... but in fact it affects timestamps shown in Finder windows only.
There is no equivalent Advanced mode in Date & Time
This requires the use of a third-party app such as iStat Menus.
You can use the Time settings to set a custom menubar clock format: