Hi!
Maybe a bug but i have an unusual setup:
If i safe the game and load it i start at the first screen without any items (except the cigs you have at the beginning).
I am using an original Mega Everdrive x5 on a boutique Genesis 3 (called MDLite)... Not a clone!
Will try it later on a High Definition PAL Model.
Have a nice day
Edit: my fault! You need to pass checkpoints to save! NOT A BUG!