I've only had this happen once, but originally I had a save file on Dwarven Moderation without Permadeath due to CTD's. Since I hadn't had any crashes in a fairly long time, I decided to make a Going Rogue + Permadeath character. A few hours in, Save and Quit to switch to my other save to show my friend what the game is like without risking my Permadeath save. And when I went to load it up; It was gone. I hadn't deleted it, and the only save remaining was my Going Rogue one. I'm not too bothered by losing it since it already had died once (and I just ended up showing my friend me being destroyed by Battys, Blobbys and Diggles on a new character, which was far more amusing then it should have been), but it seems like that could become a major problem if it happens to an end-dungeon character.