Given that saves cannot be sorted per world, naming them 001,002,003,etc. makes a lot of sense.
But the game says that zeros aren't allowed.
[Resolved 0.2.9] Character 0 can't be part of the file name.
Re: Character "0" can't be part of the file name.
Thas is bug, and it will be resolved in 0.2.9 (the 0 was missing in the list of allowed characters)