On Memory Cards;

Memory cards DO NOT save high scores. They save the last stage that was played. At least that is how it works in:
Andro Dunos
Last Resort
Alpha Mission II
Metal Slug 5
Aero Fighters 2
Viewpoint
Magician Lord
Baseball Stars 2

The above titles I can confirm. I am very sure it is the same in many more titles. I am sure there may be some titles that do save high score but most don't.