I'm playing Ironman mode (normal difficulty) so I cant save manually, but I noticed the game is not saving when anything happens in the geoscape. Last night I spend a few days ingame in the geoscape performing research and building stuff after my last ground mission, when a UFO shows with an escort (the first time this ever happened for me). As it was late I decided to quit, next day I start my game again and the there is no sign of the UFO, any of the research I completed or anything I had done after completing the ground mission.
It saves fine during missions (at one point I tried alt-f4'ing when my LMG'er decided it was a good idea to pump the back of the guy standing in front of him full of lead), but even that got saved. However, the geoscape saves nothing. I started playing again, some ufos show up, I shoot them down, one lands and I send my dropship, it takes off before I get there and shoots down my landing shit, I alt+f4 and reload, and its right back at the moment after my last ground mission ended..
While I can understand it might have not saved when I alt-f4 (even though it does do so during ground missions), it's not even saving when I normally exit the game using Quit game (and as I cant save manually due to ironman you can see the problem), which makes me think this a bug (unless its a feature, but then its a pretty stupid one imho ).