You can save at literally any time haha 😅 just open menu, save. Just loads back up exactly where you are.
I get that, it's just I'm used to most games like this giving you the option to pursue different stuff at your leisure or have some sort of home point that makes each part of the story feel separated, so it's a lil awkward I guess. Maybe it's just that it feels like it's progressing very slowly this way.