Not necessarily; my copy of Circle doesn't save either! I've done some research & more than likely you got a pirated copy, there are A LOT of them floating around these days, so the best bet is to buy it brand-new (with box, instructions, etc.) just to be safe. I found out the hard way (getting all the way up to those caverns & saving, only to turn it on the next morning & see my file gone). Your cartridge may keep your save for a lil while but it WILL eventually delete itself (or not save at all). Harmony of Dissonance is also notorious for this kind of problem (pirated/bootleg copies) so if you decide to get that next, make sure it's a legit copy.
Not sure what "OOC" is, but you should tackle Harmony next. The twin castles may confuse you at first but it's still an excellent playthrough. If you wanted to play through them in cronological order, then it'd be like this:
Harmony
Circle
Ecclesia
Portrait
Aria
Dawn
if ur neurotic then you would play Order of Shadows (the cellphone game) before all the others