I haven't gotten it yet but all of the other ones I have just start where you left off. But if you think about it the origional NES didn't save SM3 either. But my VC does start me off where I left off on regular SM. Maybe you're exiting out of it wrong. I just hit the home button to go back to the Wii Menu from wherever I am in the game. Then the next time I want to play it's still there.