Would it not be considerably correct to state that "vacuum" rather then beeing "empty of matter" is "full of EM-fields"?
Hence creating a more permanent magnetization (which is mostly characterised by the crystal structure, molecular alignments and the elements present in the substance beeing magnetized) requires matter, which by definition is not considered in the studied system when studying "vacuum".
However, the effect of magnetism and the definitions of para-, dia- and ferro-magnetism might not match for much longer, considering freaky results of experiments with DNA and quantum systems are teaching us.
Hence, the vacuum clearly does not seem to be empty considering that the EM-fields contain potential energy that can interract with matter. (at least no more empty then the "space-time curl" related to matter, beeing reponsible for the effect of gravity)
Saturation is normally occurring in physical systems and at "extreme energies" systems tend to encounter relativistic effects in addition to this.So to answer the orignial question of why vacuum cannot be magnetized I would like to form a answer where the definition of magnetism and vacuum are not really compatible as described above.
Edit: About what happens in the material when the field strength becomes high I believe that the resulting eddies and small field variations create a more "turbulent" environment within the field. And if no negative feedback loop exist within the system (as I believe the case of magnetic fields in the vacuum is) small fluctuations will spread easily.
If anyone wants to comment, please do!