are you saving / loading from a memory card or a save state? memory card saves are much more reliable. Save states should still work, but sometimes there are issues with save states.
If it's a save state, when you go to load the save state, does it list the save state in the list? Same question for the in-game memory card save.
Save issues are most commonly caused by not having a BIOS file, or not having the BIOS file configured to be used. Check help file inside the fpse app for info on how to configure it. Know that after you configure it, it may automatically go to the 'load game' screen (load iso) - don't try to load the bios again, load a game.