I'm not sure if it's the same problem I had, but when it happened to me it was because my connection hiccupped while I was trying to start the next episode, and it seemed to erase my saves. Next time I booted up, they were back. Maybe shut down the console and restart? If that doesn't work, try Telltale Games' forums. If nothing else, they ought to know there are still problems with the X360 version.