I’m not sure I understand. My RetroPie v2.4.2 install works out of the box for NES, SNES and GBA (haven’t tested the others, I assume they work too).
Are we referring to the same thing? I believe you are talking about in-game saves. If I load Legend of Zelda, it has my saved game from last time I played, same as the original hardware would have done. These are stored as *.srm files, I believe in the same folder as the ROM by default.
Or are you referring to RetroArch F2/F4 saves? If so, this might be of help:
How to save games in RetroPie / RetroArch