What am I missing?

[Mr_V]

I'm pretty sure that for Microsoft, it's a stated policy that a demo is not allowed to save any state onto storage.

I'm not sure if Sony has a similar policy (though I can't offhand think of any PS3 demo that did save anything) but even if it didn't, most developers would probably have pretty much the same demo code on both platforms, and hence Microsoft's policy may even be to blame for the PS3 demo not saving either.