Not exactly. You CAN save with specific mods that have their own complete set of unlockables, but only if you haven't added any character WADs. An example would be adding Mystic Realm (If Mystic ever ports it to 2.0(.4)) to SRB2. Since it's a full-fledged mod, the game allows you to save for Mystic Realm. HOWEVER, if you even have the mind to load a save from it in the normal game, you get a crash. (Then again, I found that out with 1.09.4)