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I agree that completing a game (and not just in Heroes) without saving and loading is a different level of difficulty, fun, and experience.
Even a relatively simple Paragon 2.0 takes more than one attempt to complete in this mode, and that's even considering that the strategy for completing it was very carefully thought out and simplified.
Speedruns are a relative thing. The advantages include solving much more complex puzzles related to logistics and battles, and achieving something. The disadvantages include so many save-load cycles that after completion, you're more likely to feel extreme fatigue than satisfaction. Of course, the competitive factor is interesting here, but unfortunately, it's not very widespread in the current state.
In terms of impressions, playthroughs without saving and loading leave more vivid emotions and a sense of pride. There's something to compare it to, and not just in Heroes. It's more memorable.