I have to disagree. If you can do something, there will always be some temptation to go ahead and do it. I like the fact that you can't save during a mission, yet I would probably do it if I could, being fully aware that it's not as much fun if I do!
On the higher difficult levels (the highest one in particular), the absence of battlescape saves isn't beneficial to the experience and funfactor so much as blatantly detrimental. This is because it takes signifigantly more time to make any sort of progress *without* losing soldiers as you are forced to play extremely conservatively. Even then, success is hardly guaranteed given that the AI seems to "cheat" and is aware of the disposition and location of your forces at all times.
On occasion, I've spent somewhere in the vincinity of half an hour on a mission (usually when there's a large contingent of aliens) only to be thwarted by a single soldier death, because X/Y camping alien knows Z trooper is approaching, realizes he has the TU to reach and Kerrblade him, and has the HP/Armour to effortlessly tank the rest of my team's reaction fire (incredibly, even when they're all equipped with plasma rifles). You might ask, what about grenades? It takes 4 of them in close proximity (at least) to kill armoured aliens on max difficulty, and I didn't know exactly where he was in order to direct them. Case in point, even when demonstrating every precaution imaginable, I still ended up losing approximately thirty minutes of my time. This is of course but one example. There are other occasions in which freak incidents such as a particularily deviant grenade or missile caused me to lose tens of minutes repeatedly. Obviously this can hardly be considered "fun" or "entertaining".
Perhaps as a compromise, an "ironman" mode option can be made availible at the creation a new game. Once selected, it cannot be changed later, permitting only log-out saves, so those who wish to enjoy that kind of experience, but do not have the discipline to given the availibility of a save option, can, while it isn't imposed on the rest of the playerbase.