I'm not sure if I can help in any significant way, because it hasn't even DLed yet for me. Buuuuut...
Fallout 3 had a similar issue, whenever you would save on Microsoft Live, those saves would only be available when you logged onto ML. The Microsoft Live saves would not carry over to offline play, as they were (for some stupid reason) separate saves.
I have no idea if New Vegas uses Windows Live, though. I hope I helped in some miniscule way.