Yeah I've never seen the icon either! I think you have to go back to your cell though.The manual (i think) also shows what icon is displayed during a save in progress but ive never seen the icon!
Also, if youve done like 2 challenges and got a couple more before the big gate opens and you stop playing are the first 2 challenges still saved?
I haven't played much, yet. Still addicted to WiiSports