Seems that when you load a saved game it deletes itself. I'm not sure if the is by design or not. Also a loading fuction or return to main menu would be nice.
Yes it does...this was designed to keep a free space for saved games open, and to prevent saving at a certain point, and reloading the same game over and over again.
However, many people have complained about it, so this is being removed for the 1.6 patch. Saved games will no longer be deleted when loaded.