When you load up a previous save game after progressing farther than it in Penumbra, and die while playing that game, if you click continue the game will load the most recently saved save game, rather than the most recently loaded savegame. It has the same effect as clicking continue on the main menu. In order to restart at the point I had loaded, I have to click main menu, then navigate the save files again. I'd recommend the game over continue default to loading the most recent manually loaded savegame unless you've saved while currently playing or started playing from hitting continue on the main menu rather than manually loading a save, it would save a headache or two.
I was using the manual saves to go back to the ice lake to record that video I made.