Actually, it seems that only 1 slot registers. I got to stage 11 and saved it to slot 1. The next time I was in the menu, save slot 2 (originally stage 6) was now empty, so it seems there's another related bug. Plus it seems that whenever I'm loading from a save, it starts me with 2 lives (and not the 3 lives at start or however many lives I had when it was saved).
Also I see, about using the .nex. Thanks!