I think you are speaking of an unconquered wildland.   My experience is that the roads in the wildland behave in the same way as those in the territory of an enemy with which you are at war.  Thus your troops lose the movement bonus.  But also the creatures belonging to the wildland do get the movement bonus!   So beware of unexpected attacks from further away than you think is possible.

I think this works as intended.

Well, i find it a strange that a road my kingdom has built works well for 50 tiles, and then for 2 tiles stops working. Not to mention that the same very road could be perfectly build, in my case, without going trough wildland. Nor i understand why beasts move fast on this road, but only in their territory. I think it is unintended side-effect from a negating road effect in enemy AI zone (so you cannot be attacked by an army that comes from outside of your screen without even knowing what hits you.) Generally speaking, i would like more to have an option to destroy/build roads, or build roads blockades. 

I think the real problem is that your roads get automatically built through the wildlands instead of going around.  It's only going to be a PEBCAK error if he built the road himself, which you can only do with a high-level Commander or the Mancer race (or a very rare hired champion that just came with road building).  The rest of the time, the program's giving you the shaft.

In regards to the loading issue, I've seen all of that (although I haven't noticed getting the movement points back; I'll have to check that).  Also, if you have an improvement that would complete that turn, it will finish production, but you do not get the improvement.  Basically, anything a city makes, if it would have finished that turn, when you load, it's gone.