I haven't played the game -but- iirc...wasn't there something about this game and (fooling players into thinking that they lost) a save file?
What was/how did that go down
I did suspect it was a sanity effect when I first ran into it, but there was still a
tiny nagging part of me that believed it was genuine. I will admit I did freak out a little, but once it was over, I definitely gained new appreciation for the game. It was a really nice effect.
Also, you've given me even more reasons to seek out Shadow Hearts as soon as I can.
EDIT: To clarify, the game doesn't make you think the save file was lost, but actually "erases" it right in front of you. I just love that. So pointlessly sadistic. It's a nice touch.