Depends on the type of save this game implements: in some games, saves are only possible on checkpoints rather than anywhere in the game (and it is a conscious design decision), in such cases it is simply impossible to save if you're currently in the area where saving is disabled.

That said, the whole (quit to main menu - watch all the intros - quit to desktop) thing has to go, I'll give you that. I think it's mostly a console thing that slid into PC gaming via console ports, and they really should just get rid of it.