Incoming double post (sorry) ...
This can come to pose as a problem for me. Apparently the game does not save in between each Wily stage, and I'm guessing that playing MM1 and MM2 on the VC has spoiled me in that regard.
Yesterday I reached the boss on Wily's stage 2, and I died to a game over of course. I saved. Later on in the day I decided to go back and see if I could beat that boss, and lo and behold I was back at Wily's stage 1. I thought that maybe I didn't save it properly, or that by my own error I had saved it on the second slot which has happened before, so today I put myself to the task of reaching Wily's stage 2 yet again and then purposely died to a game over on the 2nd half of Wily's stage 2. If I continue I can of course continue from the stage I was playing, but if I decide to go to the store and by me some energy tanks I will start over from wily's stage 1.
It's a bummer for me, and I know that I can stock up on energy tanks and plow my way through, but still.