Web platforms, mobile applications, and connected sensing systems generate multivariate time series with states at multiple levels of granularity, from coarse regimes to fine-grained events. Effective segmentation in these settings requires integrating across granularities while supporting iterative refinement through sparse prompt signals, which provide a compact mechanism for injecting domain knowledge. Yet existing prompting approaches for time series segmentation operate only within local contexts, so the effect of a prompt quickly fades and cannot guide predictions across the entire sequence. To overcome this limitation, we propose MemPromptTSS, a framework for iterative multi-granularity segmentation that introduces persistent prompt memory. A memory encoder transforms prompts and their surrounding subsequences into memory tokens stored in a bank. This persistent memory enables each new prediction to condition not only on local cues but also on all prompts accumulated across iterations, ensuring their influence persists across the entire sequence. Experiments on six datasets covering wearable sensing and industrial monitoring show that MemPromptTSS achieves 23% and 85% accuracy improvements over the best baseline in single- and multi-granularity segmentation under single iteration inference, and provides stronger refinement in iterative inference with average per-iteration gains of 2.66 percentage points compared to 1.19 for PromptTSS. These results highlight the importance of persistent memory for prompt-guided segmentation, establishing MemPromptTSS as a practical and effective framework for real-world applications.