At first I wasn't bothered about the absence of a save-anywhere, though it was a little annoying that I had to "exit to main menu" to see the timestamp of my last checkpoint. However when you return to Downtown Columbia, after the final rail arena outside the bank/broken elevator, the objective is to go to Comstock House to see Songbird. But the way I've been playing whenever the objective marker tells me to go one way, I go the opposite direction to explore for goodies. And since Downtown Columbia is a big loop I went counterclockwise down this rabbit hole of enemies and looting shops, passing Lutece's house before even triggering Mother's Ghost, but eventually got killed by snipers. Since I went the wrong direction none of my progress was saved resetting me all the way back to outside the bank.
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