That's intentional, because if someone gets into the game and invests the hour or more playing and then realises that they didn't allow saved content, that's a major issue.
I thought this might be the case, but then shouldn't it say "if you choose not to adjust this setting you cannot continue" rather than "if you choose not to adjust this setting your progress will not be saved"? The latter leads me to believe I can play without saving my data if I want to.