Today I was playing Sonic CD European Version, And it started well and the save states were working properly, however I got to a special stage which are timed and I saved, when I did something wrong I pressed F4 to load the save and it worked but the time did not go back to  50 seconds, instead it stayed on 30 seconds, and then when I ran out of time I tried F4 again and it totally glitched out, why has this happened? 

OverLord117 :
I am not sure. However this has happened to me before, so I suggest you not save in special stages or load any savestate in them either. Try to create a savestate just before the end of the level then when you lose the special stage, wait until it goes to the next level then load. Also, just asking, are you aware of a soundtrack problem? For example, once the Palmtree Panic present track is finished playing, it will play the good future.

OverLord117 : The saves states do not work under certain circumstances with Sega CD. I found this during my testing prior to the Sega CD games release and I don't think it has been fixed yet.

The problem usually happens when you close out of the game entirely then try to come back to it at a different time.

OverLord117 :
I have finally found out how to load save states normally! In order to do this you must first know the level select code: Up down down left right B. The first step is to save your game. The next time you open up the game, you must use the level select code. Get used to how to go to different levels and what each number and letter means. It will start at 1-1-A, Palmtree panic 1 present. Each zone and time period is determined by the numbers and the letter. X-Y-Z. X is the zone. 1 is palmtree panic, but the game skips 2 for unknown reasons, so 3 is collision chaos, then it flows normally. Y is the act, but I don't think it matters. Z is the time period, and it can be A, B, C, or D. A is the present, B is the past, C is the good future, D is the bad future. Go to the exact zone, act (I doubt the act matters but still try to match it), and time period. Once there, load your savestate. Never try to load or create a savestate in a special stage. Assume you complete the level in Palmtree panic 1 past. You save before the end, then do the special stage, don't win the time stone, then go to the next level, Palmtree panic 2 present. If you want to attempt again to go to the special stage, do not do so yet because the current time period and the saved time period don't match. However, if you ended the previous stage in the present, you could go back to the savestate once you start the next level. But in the situation mentioned above, the time periods don't match, so wait until you reach the past of that level, then you can load the savestate and try the special stage again. Reply if you have any questions. 

thank you all for your help and advice

UPDATE: The act must match, I found that the hard way.