I hear immersion factor all the time, but I never had a problem with it. I never lost immersion factor when I had to put a book down because I didn't read it in one sitting.
Saving the game was always just something you did. I suppose it was because that's how technology worked in the early days. Sure, you can do it differently now - but just because you CAN do something doesn't mean you should. Constant auto-saving and retry buttons water down the gaming experience - it's something that appeals to the lowest common denominator in my eyes. You have to have some standards somewhere. It's all up to the designers, really.