There are two different systems that save your progress throughout the game, The second was added recently and the first I talked about before, but I'll keep it short for those who missed it.

Basically all the routes/endings you unlocked can be accessed through the [DATA] option in the main menu.

The second saving/loading system I added, saves your progress for the first half of the game. The game saves between each of the three characters' campaigns

(Tails, Knuckles, and Robotnik)

meaning.. When you're done with a certain character's campaign and are back to the [Date Select] screen, The game saves, so you can shut off the game and continue from where you left off later.
Keep in mind, the save file is gone once all three characters' campaigns are beaten.