>>>READ BEFORE PLAYING<<< How To Not Lose Saves

Overview

Basically:

First and foremost

Important mechanic in this game is that everything revolves around HARD SAVES.
When you auto/quick save, get achievement progress, or even just change settings; if you do not hard save after that and just quit the game, all of that change and progress is lost the moment the game shuts down. Even if you are in the main menu, changing a setting: you have to load up a save, hard save onto that and only then you can quit the game.
A HARD SAVE imprints all auto/quick saves, settings and progress into the SAVEDATA.

So always hard save before quitting and blame the Japanese.