80% problems are caused by the one behind keyboard 
or maybe your anti-virus program delete the save ( Norton might do this)
I just downloaded Dolphin 3.5-125 (same version as yours) , transfered all save file to that version and played Mario Kart with my save file -> auto save the game -> close Dolphin then reopen Dolphin , the save game is still there
or maybe your anti-virus program delete the save ( Norton might do this)I just downloaded Dolphin 3.5-125 (same version as yours) , transfered all save file to that version and played Mario Kart with my save file -> auto save the game -> close Dolphin then reopen Dolphin , the save game is still there
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