Check your first block. It must not start with "Game started" event. Also, your first save point must be marked as first in the scene.
Actually, my mistake: When I said first block, I meant second (and so by second I mean third). That's because I forgot the first block which (as you said) is not marked as Game Started and I have it at the beginning of the game and marked the "Is start point" choice! And that's a general rule, not only for second and third block. If I save at point A and then at point B, it will load at point A.