After months of BT blaming my equipment I'm want to put the 2800VG behind the BT Router for VPN access

BT Router is 192.168.2.250 and I've created a DMZ pointing 192.168.2.251 the 2800VG router

In WAN IP Network settings I put
192.168.2.251 subnet 255.255.255.0 Gateway 192.168.2.250

When I save that the settings are NOT kept...

is this possible - if so how?

it won't be with the 2800 router since that can't use anything other than its own ADSL for the WAN connection, with something like a 2820 (which has a better ADSL modem) or an ethernet router like the 2910/2920, you could have that behind the BT router as long as it's possible to do VPN pass-through with it.