Just a idiot check, was having the same problem and realized i wasn't clicking the right option.
I found you have to click Play, then your saved game, then the arrow at the top which will change it to episode 2 then hit play and it worked fine. Kept all my choices.
I was doing what some people here were i bet and thought it was broken. I orginally thought i just finish episode 1 and it automatically starts 2 which is not the case.
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