I'm assuming that you are referring to checkpoints; "Checkpoint... Done" is not saying the game is permanently saved, it's saying a checkpoint has been created. "Checkpoint" does not equal "game saved", at least not in this game. The game automatically keeps track of level completions, regardless of whether you save the game yourself or not. That there happens to be a checkpoint at the beginning of each level has nothing to do with it. Yep, unfortunately.