Yes I've noticed this as well. Before I got a console every game I knew could be saved at any time. Quicksave was a standard feature for just about any game.
But now that I have a console I see many games that won't actually let you save, you have to hit checkpoints or complete the level. It's just odd.
But especially with a handheld console thingy I would expect that saving would be a mayor feature. Perhaps even sleep/hibernate of the gameplay. Heck, laptops can do it.