you are mixing up save states with the autosave option
in both cases you get a .sta file inside the sta/ folder, but save states do not need any enabling in MAME/MESS, you just press Shift+F7 (by default, but you can remap it) and you are prompted with the possibility to save the state of your progresses
OTOH, autosave needs to be enabled (with the -autosave option, or in the mame.ini, or through the MAMEUI/frontend panels) and automatically saves the progresses when you quit
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