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You have to use amx_saveent on the ents first so that it knows which ones to save. As well you do have to save as .cfg. If you have trouble with amx_saveent let me know.

Either way eventually I'll be releasing a new version with a couple changes:
You can remove all copies of ents made on the map
Save will assume you want to save all copies unless you individually them
The ability to specify player as well
Add the old ent info method back as it was more helpful that the new one

That should solve your saving problem as someone else approached me with the same issue. If you have any other ideas, let me know. Not planning on this soon though. I don't have the time at the moment, so maybe in a few weeks.