I also play the game on a PC and the same thing happens in Gloria's Theater.
I saved the game after collecting the very last figment (at the tunnel entrance that leads to the final Boss Battle). When I went to play again, Raz was back at the area just before the elevator that brings him up to the walkway where he meets the Phantom.
I just figured it took me back to an auto-save point. It was a little annoying because I had to fght the Censors again.
On the other hand, when I save my game in "The Milkman Conspiracy", I must be saving it at an auto-save point because I always start off right where I saved the game.
I try not to save in "Waterloo World" (I plow right through to the end). If you save and then quit, when you go back into the game, all of the Cannon Guys and Censors respawn, which sucks.