I think the message is essentially saying if you quit during the CAS screen, nothing will be saved. I did a couple of dummy runs, and found that as soon as you get past that screen, it saves as per normal.
Unfortunately, after all the tweaking, performance overall is not any better than when I started. I can only conclude that this is just how the game runs on my setup, and I won't be able to get continuously smooth frame rates regardless of what I do. However, it is by no means unplayable, and as said previously, I'm probably just being a perfectionist...!