When i exit during a rogue mode playthorough it says that it saved the game, and i see the "continue" button on top of the main menu, but then when i turn off the game and then back on the "save" is gone.
Is the game bugged or something ? I mean, if i want to exit and save is because i want to put down the game and come back later after all.

Yep, I just discovered this too. It let me save the game, but when I reloaded it there was no option to continue the Rogue run - Cryptark deletes the save file on exit. Mentioned in Steam forums too. The devs don't seem to have bothered fixing this, which is frustrating since the rogue mode is otherwise good. It's likely to catch out beginners too, and lose them their progress by making them think they can save. Disappointing.