I am getting this as well. I am having severe problems with the game which I find very frustrating.
Let me give you a as detailed way of explaining my play history as possible so that Telltale can hopefully sort this problem out.
First things first. I bought the game on a different 360 in a different country to the one I am playing on now. Everything played fine whilst I was over there.
However, on returning to my home country I forgot to copy across all the data relating to TWD so thought no more about it. When Episode 2 came out I bought it right away and downloaded it. However, when I came to play it, I couldn't launch it. Then I ended up downloading Episode 1.
Once that was done I managed to launch the game and saw that in the splash screen for each episode, Epside 1 was allowing me to play, while Episode 2 said "GET", even though it had been purchased. This made me think I needed to play Episode 1 to unlock progress in Episode 2, since my original save is over 5000 miles away in a different country.
I play through Episode 1 to its conclusion in one sitting with the intentions of starting Episode 2, except when I go back to the Episode splash screens, Episode 2 still says "GET". Confused with this I back out of the game and start all over again, only this time I stop when I notice I don't have a save. I back out to the dashboard settings and sure enough, in the storage part of the HDD in the TWD folder there is no saves, just Episode 1 and Episode 2.
After this I fired the game up again and did some backing in and out of menus until eventually I got the "GET" on Episode 2 to change to "PLAY". I go to play, but of course because there is no save so it asks me if I want to generate random decisions or something. Iback out at that point because I want to play with all my decisions that I made previously. I fire up Episode 1 again and play up to the part where you are in the garden and watch the game say it is saving via the little indicator up in the corner of the screen. I back out of the game and it gives me the usual warnings about losing all unsaved progress since the last autosave, but since it just saved I back out and load the game up to see if it actually saved. The 3 save slots didn't show a save, and also Episode 2 was back to the "GET" position instead of "PLAY". I checked in the dashboard and sure enough there were no saves corresponding to TWD.
As a last ditch try I delete all TWD stuff from my console and redownload Episode 1 to try and sort the saving problem I am having first. I play right up to Clams house and witness the saving notification a few times. I then purposly get killed by the baby sitter, at which point the game kicks me back to the Start screen. I've never seen it do this before, I always thought it kicked you back to the last checkpoint when deaths occur? Anyway I dashboard the console and look to see if there was a save file created. There wasn't.
I really want to play your game the way it was intended Telltale, but I cannot. If this problem persists I'll probably end up jimmying the system like I did last time to get Episode 2 open and playing it without any of my decisions carrying over, but I wont be buying any future episodes if I can not be certain that they will work as they should do.
Thank you for taking time to read this. I look forward to your reply.