Two things you have to realize: first, DPP does parametric (also called non-destructive) editing and second, because of this the term "save" has a somewhat different meaning.
Parametric editing means that as you push and pull the sliders around no actual changes to the image are made, merely a list of proposed changes to the various parameters is assembled. The great advantage is that you can go back at any time to a parameter that you set earlier and change it; it is, after all, just an item on a list. You can try endless variations and all that is affected is the preview. And also, you can move the sliders in any order. O.k., now you have obtained the preview you like and you want to set it in concrete. But if you click "Save" the only thing that will be saved is the parametric list, still no changes are made to the image data. The saved list is written into the metadata section of the file. There is already a list there that was written by the camera, DPP used it to set its defaults. The lists, however, are written in language that only DPP can read. In order to apply your edits to the image data you have to do "Convert and save" or "Batch process", but even then, if the original is a CR2 DPP will never change it. It will only render and write a new file, tif or jpg, with the requested changes. If the original is a rendered file, however, it will be possible to overwrite it from the Convert and Save dialog but not from Batch.