This actually happened to me as well during an extended test session last night. I also have never seen the "Low Memory Warning" appear in Windows 7, and I have 8GB ram with 16GB swap allocated.
I noticed that UI elements on the left side and bottom of my screen were missing (and the file below contains a lot of errors regarding loading textures). I'm wondering if I ran out of graphics memory or something? I plan another extended test today to see if I can reproduce this again, and this time I'll try and gather more data.
Here is there debug.err file from just after I saved and exited the game:
http://dl.dropbox.com/u/71523742/Ledendary%20Heroes/Out_Of_Mem-debug.err