Most likely the game does not delete its own saves, it's just that it didn't save the data in the first place. If data *actually* dissappears from your HDD, you've got a problem.
The games did save themself I know this because I've opened the file before and it had my data then I saved came back and it was gone. So far it's deleted No mercy and majora mask. Also the Majora mask data came back teporally now it's gone again.