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That's odd, the game is supposed to ask you if you wanna load the data after selecting the difficulty you wanna play on. Did you save after beating the final boss of the first game? I've only played the games on Steam so I dunno if maybe there's something weird going on with how GOG handles it. If you don't get an answer here, I'd suggest asking on the games' GOG forums or maybe the Falcom subreddit.