I have lost my saved game too.
I've updated the game, then it ask me to reset the open GL plungin. But instead of redownloading it, I took one that was on the game folder, but I made the game crash, so I had to reinstall it.
When I started the game, I still had my saves for Crash Bandicoot 3, but they have simply disappeared for Rayman 2.
It's very strange cause I was using both save state and real save with the memory card, but both are gone.
I'm not sure if FPSE erased it for some reason or if the saved game are just hidden in another folder.