Greenfoot version 3.5 no longer has a Save the World option under Controls, at least on my recently updated version.
The only thing it was good for was for a beginner to see how to code world prep actions (which should really be learned when learning the java language to begin with). Once one learns how to code the stuff, they should stop using the feature and code it themselves via the editor.
In our menu re-organisation, Save the World was accidentally left off the top menu -- thanks for helping us notice! That will be fixed in Greenfoot 3.5.1. The option is still present in Greenfoot 3.5.0, but you can access it only by right-clicking on the world and selecting it from the popup menu there.