Same problem for me.
I bought this game a couple of days ago on the XBox Marketplace, downloaded and installed it. Was all happy to be finally able to play a TD-Game based on Majesty.
Well, tried to start it, played the tuorial and and the Scoreboard, it simple froze. I restarted, it froze again and after the third time, I was able to continue. Just with the little extra that I could chose every level from the very beginning.
So I redownloaded it, worked all normal. It always said, it would save after every finished level. Fine with me. Played like half of the game in one go and closed it down to continue the next day. Next day, I started and, here we go, everything was gone. For no reason whatsoever. And after beating the tuorial once again, I magically was able to play every level form the start agin.
So...Help? :/