Go into "cheats and misc options". there should be an option titled sram update, or something like that. If it is set to exit only, it won't save. Have you tried that? If you already have, find a different dump of the rom. ([!] is the symbol for a good dump)
This is a sig. You may think that there is something to it, but in fact it is just an ordinary sig.
Turning on the auto update option was my first idea, and I have a good dump(obtained from a not very well known site that still has good dumps and all gba roms).
And gpSP 0.9 was one I've had for a while and it doesn't work either.