For many WHDLoad games, you have to quit the WHDLoad slave using the WHDLoad slave quit key (often F10 or *) in order for WHDLoad to save the games to disk! I’m guessing that this is the problem.
(Perhaps FS-UAE will be more clever in the future, and know which quit key is correct for each slave, and then “magically” quitting the WHDLoad slave before ending the emulation).