Didn't know that, and it's windows specific of course, no idea why it happens for now...
Edit : it's fixed, it's just that this options menu is dynamic and had grown too much, in linux there happened to be an empty region after it so you didn't see anything, not in windows and so you saw the next menu : about. It's fixed and there is a safeguard in place to be sure it will never happen again !
Because for gui lovers game options / load and save game is enough, here you do that in 1 click. I don't see the point in selecting a save state with the gui if it's to use it with the keyboard afterward.
By the way the save is for the 64 bit version, if you try to load that in the 32 bit version the game resets.
EDIT : just added an alert when trying to load a savegame in the wrong architecture. Notice that sometimes it works anyway so I won't forbid it, such as when you saved in a given stage, and load from a different stage, usually both stages use the same main loop in the program and only the ram changes, in this case usually you can load the game without any trouble. But in any other case, the emulated game will probably crash and sometimes reset, so it's probably a good thing to have some kind of message, even if the message here is not super clear, it just shows the IDs in the savegame which couldn't be loaded, usually related to cpu names...
I don't know, maybe you hit some incompatibility with either the C cpu cores or some cheat combination. The error message you see is because the cheat is enabled when you boot the game, which is probably not a good idea, try to enable it only at the time it's needed and the message will disappear.
What I can say is that I quite extensively tested this one when I was implied in the cave driver development, and I never saw something like that, so it's either the cheats or the 64 bits version, try to do some more testing to pinpoint what happened here...
By the way you didn't tell which cheats yo used, they are not saved in a savegame...