RetroGaming

"Game Saves" depend on the core being used, because some consoles attach pseudo devices as memory cards, while others like NES emulate the storage cart in the game cartridge. All of these use files on the emulator filesystem to store the actual saves, but use the game code to save data as the game is designed to do, and will show as saves in the game. Each core will have its own docs on how this works.

"Save States" are a point in time dump of the game state that sort of replays data where it was saved from. Like pausing music or a video. these are also dumped to files, but loaded differently, and will not show as saves in game menus.

A core is just a fancy name for an emulator, like an "app" or "application" is for "program". And a save state is a full dump of a given program's memory and that can be reloaded later. A game save is, to my knowledge, a checklist for the game to load onto memory.
Save states are good if you can't rely on game saves, like if your device has low battery and you're far from any save spots, if you're in the middle of a very hard section, etc.
Meanwhile, as memory is physically located in a given device, it can be found in a different place if you use another update of the program, another installation, another OS, and perhaps even another hardware. And if a piece of memory isn't where the program expects it to, the program won't load at best.

Apps -> RetroArch -> Settings -> Saving: disable Load State Automatically. You can also disable Auto Save State but it's unnecessary.

You may also want to change Apps -> Tweaks -> System -> Startup -> Auto-resume last game.