I own the walking dead for about 2 weeks and since the beginning I have the same problem, a bug with the saves.
I finished episode 1 and everything was alright and then every time I played episode 2 it didnt saved. Its not like the game deleted any progress I did but it was like I still just finished part 1.
I tought that it would work out but then when I finished part 3, the same problem happend. Every time I join the game its take me to part 2 (like I finished just part 1). When I enter part 4 (the true part that I'm in) its says that the game will do random story decisions (the same sentens like I didnt finished part 2 or 3).
I can live with that because when i do random story... Its do the exact same decisions like I did, but its still anoying because i cant do rewind and such.
Thank you, Saldeat.