I honestly don't know what the problem could be, but I'll try to recommend the usual fixes to see if they help.
Have you tried other emulators such as pSX, PSXeven, AndriPSX, Xebra etc.... to see if the problem still persists?
Tried deleting the epsxe folder and then extract epsxe there with all the plugins and reconfiguring the emulator plus plugins?
Have you verified the game is fully compatible with this iteration of epsxe? Incompatible games can cause conflicts and undesired results.
Is there any program on your PC which could conflict with epsxe, it's game saves causing the saves to be deleted?