Technically it has a pause option for until you make the choice the event won't proceed further. And since this fight is a part of a linear scenario quest there's no sense in exiting it - you'll have to play it anyway. Also we have the autosave before the fight so if you just exit the game you can start straight from the fight.
Adding saves in the middle of the fight can break the linear script when loading, plus the option of saving anytime or canceling a choice may spoil the experience - people will just check each option and then load back, with no real value of the choice made. It may be harder to complete yet once you win you'll feel the victory.