I cannot confirm this, to works as expected on my side.
I made a small testing app. It sends a MIDI Note every second (the second value = pitch; the time is getting from the system time).In Cubase I set the Auto Save Interval to the minimum (0.5 min). Then I added a MIDI track, enabled Record, and triggered the test. I left it running for 1 minute, so at least once was the process interrupted by the Auto-save function.
After this I called the Retrospective Record function from Cubase. The data was printed to the MIDI track. And I checked the data.
I have got all 60 MIDI notes, and actually I have got even some MIDI Notes I was playing before. So the Retrospective Record was actually running even much longer, and it was interrupted by the Auto-save multiple times.
See the video from the test here, please (it’s an animated GIF, Dropbox doesn’t play it to me, but when you download it, you should be able to watch it as a video).