This is something I really wished Bethesda would have improved from Oblivion to Skyrim. The whole save interface is not very good at all.
Yes , i also don′t understand this.
Nevertheless there is a way for custom savegames:
you have a character A and B played simultaneously. If you switch now just save character A by open console -> type "save characterA" . Now you have a savegame with the name of player a. E.g. your char′s name is Pateng so you type in console "save Pateng1" or "save PatengWhiterun" ...something like that.
But always have on mind: Autosaves and quicksaves are still shared! So befor you play another char always make a custom savegame!