As far as in-game saves go, the lack thereof seems to be characteristic of the demo alone, judging by the existence of a save game folder; though the action seems fast enough to me that I'll be too busy to think about mid-level saves.
As for changing settings: folks, I can't emphasize this enough, never, ever forget to hit the Enter key after making any changes for them to save. Many seem to be forgetting to do this on other forums, so I'm curious as to whether the same is true here.
I actually haven't had anything much as far as problems go. My optical mouse works like a charm... gameplay is smooth as silk... Aside from some crackling during spoken parts (which I believe was mentioned elsewhere on these forums) using an SBLIve! 5.1 card, everything has been perfectly enjoyable for me. Sorry to those who have been experiencing difficulties; honestly, I don't know what to tell you. I'm using the latest Detonators, latest MS Optical mouse drivers, latest Soundblaster drivers, latest VIA Hyperion drivers.... If you're using the latest everything as well, then I'm at a complete loss. My sympathies: this really is quite a fun product.