OHH...this is just bad.
It happened to me also.
Although they program did warn me that "...Following file(s) are modified..." I had no ideal what files it was talking about.
But...It looks like it's the "Palettes" that don't get saved automatically with the scene and the palettes define the drawings. So you can save the palettes or the levels, but you have to do it for each palette (notice the capital letter that gets created on the frame when you change or create a new palette, A, B, C, D, etc..).
Not a nice workflow at all, and I'm surprised that more people aren't losing work.