Normally in Hexen, if you die, pressing space will take you back to the start of the last level you were at, where the game auto-saves.
With inter-hexen set to "last save" for on-death, these autosaves at the start of maps are not considered, even if they are newer that the player's last manual save. Since you can't load them from the normal menu either, they effectively don't exist.
Hexen's save system is dumb :p