Snes9x SRAMS useless?

If anyone has ever played a Wii U virtual console game they know at any point in the game you can save and imedaitly go back to that exact spot. Is it possible to do this with SNES9X? I thought It was with the SRAM screen shots or what not but when I save and exit the game when i come back to load the game it leaves me off not at where I saved using SRAM but where I saved in-game. So for example I've been playing Donkey Kong County and I want to save my game right before a certain jump so I save screenshot was accepted, I fall and when I try to load that screen shot it doesn't work, I'm stuck at the last spot I saved in game (candy kongs save point.)

So my question is there any way to save like you can with the Wii U VC games?