There is a historical basis for this you know: *cue announcer voice*

In the beginning, In the Land of the Rising Sun, video gaming began on consoles. The problem with this is that consoles were deficient in the memory department.   In order to avoid this problem, the save spot was born (complete with instant health regeneration) to conserve the precious commidity of space.

On the other side of the ocean, videogames were born on the computer, complete with many kilobytes of precious space.   This overabundance of memory allowed them to save much more detailed information, such as your location, and current status.   Thus the save-anywhere feature was created.

/announcer

Today this problem does not exist, but is tradition, so it remains

As my opinion on this, I want save-anywhere feature in every game (it encourages experimentation)