I have autosave set (i.e., autosave 1) and get the same error, but generally only when I'm launching a game for which there is no saved state (makes sense, right?).
I'd assumed this error appeared when you have autosave set in the mame.ini and then launch a game for the first time where an autosave hasn't happened yet. This appears to be true most of the time. As a testm I just launched a game I know I'd never launched before and got that message. Then I exited and relaunched, and as you'd expect the save state loaded.
However, I tried it with a couple of other games I'd never launched and didn't get the error.
I'm pretty sure that I only see it when I'm launching a game that I'm playing for the first time.
So I dunno...