We'd need a lot more information before anyone could begin to accurately diagnose your troubles, but rest assured that Sigil is NOT in the habit of not saving an epub when save is clicked.
Offhand, I'd guess you're confusing the original files you started with, with the final product that Sigil creates: a special zip archive (with many files contained within) with an .epub extension. Sometimes it's hard for beginners to understand that you're not using Sigil to edit all the individual files from your computer that you imported into Sigil. You're editing the new copies you added to your epub container.
You reopen the EPUB you saved to continue editing ... not your original files.
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