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Is this your first Borderlands experience? This is the way these games work.
About the save being deleted: Do you have cloud synchronization turned on in the Steam Library? If you don't, your saves will be stored locally at default location C:\Users\[Username]\Documents\My Games\Borderlands Game of the Year\Binaries\SaveData
However, the save being deleted suggests that you do have cloud sync turned on, and that when you launched the game after quitting, there was a file mismatch*, and the directory state was overwritten. *But, you usually get an error informing you of this.
Experimenting with an old version of Willowtree, I did see your problem among my results, but I cannot figure out what else may have caused it.