@LirraFlirra Your saves should absolutely not be deleted when using scenarios. I'm actually curious what message you're seeing; if you could post a screenshot, that would be helpful.
Regardless, you can back up your saves on your own if you want, and it's a really good idea to do so periodically whether or not Sims 4 is giving you any weird errors. If you open Documents > Electronic Arts > The Sims 4, you'll see a saves folder. If you right-click that folder and select Copy, you can right-click elsewhere and select Paste, and you'll have a second copy of the folder in case you need it later. It's safest over the long term to store an extra copy on an external drive or USB stick, but for temporary troubleshooting, copying the folder to your desktop works fine.