That's a good idea! They might as well skip the middle man.
Unlike Sheep on PS1 where if you fail a level, you have to see the failure screen, load the main menu, click "Load", load the saved games from the memory card, click the saved game, load the level, and then you get to play for another 3 minutes before failing again.
Just a note, you can press CTRL+L in Beyond Divinity at this point to get your last quicksave.