Well, considering they are still considering implementing rape, I don't think they really care about their PEGI rating. Personally, I agree with SuperConductiveRabbi. An execution should be more unsettling than some scantily clad people. Besides, it's not really any worse than a skin lotion commerci...

Where does it save to?

Well, if they do implement the feature, expect lots of knives walking around.

Probably because it saves your game to your harddrive.

Yeah, it did the same thing for me. Try once or twice and it should work. I suggest DownThemAll! (an addon for firefox), it'll allow you to download files with out them being interrupted.