This seems to keep happening around here. Maybe we should stick a reminder into the game that you don't get anything if the game isn't default.
It's simple:
If you have any files added that aren't normally loaded, like Mystic Realm, SASRB2, etc., SRB2 will not save data. Because it has no way to know what the modification is, it assumes that it's altering things that it doesn't want you to be altering, and blocks saving accordingly. It's similar to what happens when you type in GOD or NOCLIP into the console.