It's been a while since I played the game, but I do believe that it saves automatically for you. I'm not sure what happened in your case, but I suggest you try playing through a level or two again, shut off the system, and see if it erases your files again. I have never heard about there being buggy copies of the game.
And yes, there are differences between the characters in the game, and some of them do a better job with certain events than others. These differences were indeed described in the manual.