These days you can expect every major game to launch with at least one major or minor bug. It's just the nature of the beast given the amount of platforms many games release on and the amount of technical overhead required to get them to run right. Even indie games like Cuphead from Studio MDHR aren't exempt from bugs. In fact, it has a rather nasty save game bug for the Windows 10 version of the game.
Over on the Cuphead sub-Reddit there was originally a post about saving the game and issues with the auto-save feature not working. A couple of players responded saying that they, too, had encountered the bug and that it was preventing them from progressing in the game properly. Specifically, the Windows 10 version of the game that you can purchase from the Windows Store with Play Anywhere support, isn't properly auto-saving the game upon exit, causing players to lose their data when they leave. This is happening only for some players and not everyone.
The thread was deleted on the Reddit page, but the conversation about the save game bug continues to persist, but only for Windows 10 users. Neowin is reporting that Cuphead on GOG.com and Steam have not had problems with saving the game, and the article notes that there's a workaround by not Alt-Tabbing out of the game for any reason during any point of the playthrough. If you do, then the game will not properly save your game upon exit. The reason it's suggested not to Alt-Tab is because it may de-synch the game from the Windows servers.
I don't know if telling people not to Alt-Tab while they play is a really productive workaround, though. Also, what happens if a Windows notification pops up? Or, what happens if you say something and Cortana minimizes the game? What if you get an Xbox friend request or update? Would this affect the ability to synch and save?
Gamers have been proactive in contacting Studio MDHR about the issue on Windows 10 and the developers have supposedly informed the community that the issue is being looked into.
This particular issue is quite frustrating for some players, because the promise of the Windows 10 version of Cuphead is that it supports Play Anywhere functionality, which means that any Windows 10 compatible device or platform can play the game and you can even pick up and play where you last left off from your saved game. This also includes being able to play the game on a laptop and then picking up where you left off on the Xbox One. However, if your game isn't being saved properly on exit from Windows 10 then it means that when you open up the game on any other device or even attempt to continue where you left off when playing on Windows, the saved game is not available.
In a way, this kind of marks one of the problems with pushing games as a service; you're beholden to the servers on which these games run and if the servers aren't available then you won't be able to play and enjoy your games at your own leisure.
Hopefully, Studio MDHR will have a hotfix available for the game soon to address the save game bug.