That always bugged the heck out of me, too, when I played WC1, and I never found a way around it.
It was especially annoying because, on my second playthrough, I played on a 286 (computers were expensive back then, and our real computer died, so I had to pull out an old one to get my WC fix), which had the effect of slowing down everything and making the game much easier--which led me to the most insane kill scores I ever got (I think I even beat the Kurasawa Ralari mission on the first try!) and somehow ended up with TWO Pewter Planets by the end of WC1 (not sure--it was a long time ago--but that was my memory). But of course I could only carry one through to the Secret Missions, because there was no way to save at game's end.
Was it because, when they wrote WC1, they didn't expect to be creating addons?