Yes, not all games save high scores to floppy disk/harddrive.
Some games, like Megaball 3 (4?), save the highscores into the RAM disk. If you want to keep them you have to remember to save the file to disk/harddrive. When you play the game at a later date you have to remember to copy the file back to the RAM disk, otherwise it'll use the default hiscore table!