When you are in the main menu, you create a new game, you spent hours in-game saving and as you try something you create a new save and sometime wanted to reload the new save.
It can happen you feel like losting all what you've done seeing that you rebegin the game from zero...

It' normal.

To understand
the "create a new game" frome main menu and in-game' pause menu make the same thing : a new game
So directly after creating a new save click save and all will be saved.

I'll be happy if it helped you and never forget this game is a young boy ^^