No, it's the game that says it. After completing a level, I get a new creature, then it says:
"IMPORTANT! Your game could not be saved. Read More!"
And under "Read More!" link, it just talks about browser settings. But, like I said, cookies are not a problem with other sites. I don't have them turned off. I have IE Privacy settings set on Medium (what it comes with normally).
I don't have the patience to unlock all 10 guys in one sitting, so maybe someone can post what they all are.