Seriously, the current dungeon isn't saved, even upon entering, health isn't saved... health... which means you leave the game at near zero HP, you come back and yay, 100% HP ! I can't believe this...

...the game has a saving system inside of dungeons? o_O

It has ! If you quit the game while inside a dungeon you will have the option to continue instead of starting a new one, and you will start at the floor you were before... but there are critical elements that aren't saved, which make the save system problematic.

The lack of a saving system is a game killer for me, I don't have the time to make a full dungeon in one game session...

It's a bug. GOG patch should come later this week.

Nope. The game saves the state of the whole adventure team, or rather, your state of the game, Not much time to save anyway... it is easy to get killed quickly. You simply start again, there is not much state to save but gold is saved across games and heroes, that is, your gold. I think it is a concept, because you can finish dungeons in seconds and will be killed several times in sudden death, so no point to take care of complex moves and states, inventory, etc. IT would have to be rebalanced for that to make sense.