The counter argument is that a save function makes it harder for a newbie, because they don't have to learn from their mistakes.
Probably it started without a Save because of the emphasis on multiplayer, where a save is useless.
Personally, I prefer it this way. Unlike most FPS or RPG type games, where getting back to a certain point requires repeating the same process over again (and again), losing a game in dominions due to mistakes just means you can start over again with a different set of challenges, even if you set the game up the same way.
But then I'm a nethack fan too.
And you can always copy savegames, if you want the security or just to experiment.
No real need to zip them either, unless you're really short on space. Just copy the file and change the name. Add a turn number or something.