Video games have changed over the years, and if you're not a regular follower of the medium you may have missed the subtle shifts at work. Let me explain it to you.
Modern video games: "Hey what's up! Okay, here's how the controller works, here's what this button does, now this one, now those two together. Did you die? It's okay, I saved for you when you entered the room!"
Old video games: Go **** yourself.
You notice the difference when a more casual gamer (aka, normal person) attempts to play . . . say Chrono Trigger, or Final Fantasy VII. You hear a lot of "So I have to do all that again?" and "How was I supposed to know that?"
And the answer is that, yes, you have to do all that again. And you were supposed to know that because the designers just assumed you were familiar with the mechanics of this genre—or that you'd get desperate enough to look through the manual*, which was a larger part of the experience in those days.
The problem for those of us who've been playing for a while is that we don't fully trust the modern design. We've been trained to hunt for that next save point (see kids, before there was autosaving you only got to save your game at certain points. If a boss battle left your party a wreck, you healed up afterwards, immediately. Otherwise, you might get randomly attacked in the 5 steps to the save point, die, and tear your controller in half.**) and now the idea of turning off the system without selecting a save slot is like trusting a random person to deposit your paycheck.
*And sometimes you'd rent a game, and in that section at the back for "notes" that no one used some guy would have copied down every level skip code. And you knew that, wherever that guy was, he was awesome.
**That was FF7, by the way, and the boss was Alexander.