WHDLoad 17/17.1 seemed to make a bunch of my games fail, so it's worth keeping the 16.9 version in your C: so that you can alternate between the two versions to see if it fixes some of your problems.
Regarding the saving issue, do you have NOWRITECACHE enabled in your S:WHDLoad.prefs?
Basically, unless you have a 68010 or above CPU then you can't quit the majority of games, and therefore your saved games will not save correctly, as WHDLoad will not get the chance to write the remaining data in the write cache to the save file(s) which happens when you press the Quit key (usually F10, Del, or PrtSc). Enabling NOWRITECACHE will fix this, it will save your game there and then in totality (screen will flicker to black a few times whilst it saves, and the saves take a little longer).