I'm also in the same boat in that I can't seem to save successfully with this. Well, I say that but the "Mario Bros" game (the one where you have to push UP+A to access the game) does seem to save the high score. I have also successfully saved "Super Mario Bros" at world 4-1 using the "save & quit" option .... at least until you then play Super Mario Bros 2 Jpn & save that. At that point the save for "Super Mario Bros" disappears & there's no save either for "Super Mario Bros 2 Jpn" either.
I'm assuming that I'm right in that each of the four "Super Mario Bros" games has 4 save slots for each game?
I believe that I'm using the latest patch, I've also tried both the CRT option & EMU version (can't seem to find a patch "designated for cartridge" as mentioned by sneakyturtleegg. Either way, I can't seem to make this work correctly either.
If anyone has managed to make this work & save the game as intended please could you tell us how you done it, & link to the latest patches if possible.