No I do not think that saving the file is the problem. If yeu had clos-ed the file before exiting RStudio then RStudio would not automatically load it on startup.
I may be misunderstanding the problem. I thought that you just could not find the file. Is that what is happening or is the file actually empty?
If you cannot find it, just go to the operating level and do a disc search. If it exists and is empty my guess is that some how you managed to do a select all and delete just as you were saving. I know this sound impossible but trust me it can be done as I know from personal experience.
The real worry is if the file does not show up is the Recent file list.
What happens if you create a new .r file, muck around with it, maybe save it a couple of times and then exit RStudio and reload?
I am on Ubuntu and have not used Windows in years so I don't have much of an idea how to trouble shoot an R X RStudio X Windows issue.