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But with the cartige slot. Wouldn't you have lottle/no reason to take you action replay or other similar cartridge out once installed?
So, the Action Replays/GameSharks don't act as "Live" Memory Cards. You can only copy and edit your data using the menu within the action replay. You can't save directly to the card. Some third party memory cards require the menu too, some are seen just like a regular first party card.
If I want a card that I can save directly to from a game, I need to use something different than a 4 in 1 action replay. Now some memory cards have "live" functionality and act as an import convertor. Some don't. Also, there's things like the netlink someone might want to use. Oh, and depending on the age of your action replay or game shark it may have compatibility issues with certain games using the RAM. And a few games (for example US Panzer Dragoon Saga) won't boot if the Action Replay is detected.
Added in edit: There's also King of the Fighters that has ROM data. The fact that I may want to copy saves from one Saturn to another, thus needing to remove the cart. The main reason it's a problem for me is the internal memory is limited and I like having a "Live" card that the system can manage via the memory manager and I can save to within games. The Action Replay can't do that.