I play in red version.He's playing the game as a ROM with an NDS emulator. Some ROMs/emulators don't allow you to save in Pokémon Dungeon Blue (Might be a GBA emulator and Red Rescue, but these generally work better).
Edit: Or at least that's how I interpret it anyway.
No clue what you'd do if it happens on your real game though (well personally I'd probably cry).
yes!We've all learnt a lesson, never play Handheld games on a computer.