It's a different way of thinking/working - LR doesn't make changes to images so there's nothing to save. You make adjustments and the results are displayed but all your adjustment are just saved in the database. Each time you view an image the original is loaded and then the recipe of adjustments you've made get applied. Just like if you placed a negative in an enlarger then set about making the dodge, burn, exposure, color, etc. the negative doesn't change.