Personally, the only problem I ever had with SMS32 was if you load up a game with battery backup that has an existing save (in my case, Golden Axe Warrior), then with or without saving you turn the GP32 off, the emulator does not write the save file. What's more, the previous save isn't kept either. So basically, you lose your whole game. Very nasty, this happened to me on both Phantasy Star and Golden Axe Warrior!
However, I should point out that it uses the same save format as PC emulators...although I think filename extensions are different...