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This isn't a question of difficulty, it's a question of convenience.

1) I can retry the level by using the "kill myself to end up in exactly the same place but with 3 lives" technique already. A "retry" option would be more convenient, it wouldn't make the game easier.

2) The final level is split into four stages. If you continue after dying then you begin at the start of the stage you were on. You have infinite continues. Theoretically, I can continue from the start of each stage as many times as I like provided I leave my console turned on. Allowing me to save would merely allow me to turn my console off, it would not make the game easier.

Think about it!