Could we simply have it auto save to the last completed page, or even better, simply have it save the page where they are in the process?
Maybe a more concise popup notification would work better. For example, clicking on the Save and Exit (on a page with required fields) lets the user know their information up to this point has been saved and to click on OK to return to their profile and cancel will keep them where they are. We should mention that anything on the current page won’t be saved.