Seems like SRAM saving with ROM loading isn't working correctly. Sometimes it'll save and show up on a subsequent load. Other times, the save will be gone. In games that try to read the SRAM and produce an error sound (like the Dragon Quest games or Glory of Heracles 3), they do so. And yes, this is with making sure to open the file menu every time. I've also tried doing a soft reset before loading a new game, but it doesn't help.
This happens with the Japanese version, as well.