Becaus my save file on my first characther was 7.7 mb big and the game was lagging alot for me, I decided to make a new characther while waiting for the patch they say are going fix the long term playing issues.
I just saved it through the System - Save - Creat new save, and to my suprise the save file for my other characther was gone.
I checked in Load game, there was only the saves for my new characther, I went to the main menu and Load, only my new characthers save files.
It should be very possible for you Bethesda to make it possible to have save files for more then one characther.
When Bioware can do it for Mass Effect 2, you should also be able to do it. I have 4-5 characthers in ME2, and the auto save files are even diffrent.

Luckely for me, I saved my files on the online storage.
But not everyone is a plus member.

I really hope you`ll do something about this.