After some limited messing around I tested 2 games on the CPS1 driver (sf2 and captcomm) with these games if I ESC to close MAME and relaunch everything works as it should and high scores are saved. If I press F3 to soft reset while these games are running it appears the scores are dumped and lost. After which closing with ESC and relaunching does not retrieve what was previously saved.
So I tested the same thing with bublbobl (different driver) and executing a F3 soft reset does not lose the scores.