Okay so I finished mission 4, got all the stats on my screen, I think that's it for today, I shut down my PS3, next day I start Dishonored up again and I have to do the last part of the mission again...
So when the stats appear you have to hit continue to make sure it really saves?
Has this happened to anyone else too?

Yes, this happened to me once as well. I was even on the post-mission cutscene, when Samuel was returning me to base.

Do a manual save, I suppose?

Yeah I will do that next time, thanks