Somehow I managed to get all the dead drops on the first isalnd. I'm noy positive but I think I only missed one shard on the first island. It's on top of this sphere thing and it appeared the only way you could get it is with the lightning glide thing, which you don't unlock until the second island. I'm hoping I can go back at some point. I read over at Gamefaqs that you can free roam after you finish the game.
Like JMS said, as far as I know there is no auto save Ryne. I save manually constantly. I think they left out auto-save because the game relies so heavily on the choices you make. If you accidentally killed a shitload of civilians while taking out some Reapers and you were playing as Good, and then the game auto-saved you'd be fucked.
Are you sure you just didn't assume the game auto-saved Ryne? I've never had any issues with the game reverting back or not loading up properly.