@vahnxdean Login via SSH or get to a command prompt by closing Emulationstation. Open the File Manager (mc) and browse the /home/pi/RetroPie/roms folder, which will contain your ROMs and save states - under each system (nes, snes, etcc).
Copy/move the saves (they have the .stateX extension, where X is a number) to a folder inside /home/pi/ - let's say /home/pi/saves.
Configure the save states folder to be /home/pi/saves. This way the save folder will be on the SD card, but your ROMs will still stay on the USB HDD.
The reason you're not seeing the ROMs from the SD card is that Windows doesn't know how to read the Linux partition on it, and you're only looking at the /boot partition, which only contains the bare minimum to start the RPI system (kernel files and device tree files).
@crumbs The thing is, per emulator / per game settings are functional. So if lr settings are not getting saved on your setup then you do have a problem and those informations might help others to better understand the situation, get rid of the usual suspects (bad power supply, etc)