I thought it would be okay to exit the game because of the screen that says 'closing the game will save your progress', but when I loaded it up afterwards it gave me the 'You killed Niko' message. I felt really horrible and very confused for a minute before loading it up again to find that it just reset to the beginning and I started playing through the mod like nothing happened.

I'm glad Niko is okay and I can keep playing but this isn't really coherent. The 'closing saves your progress' text isn't correct, and Niko just comes back from the dead. Or something.