Hey LiL,
Thank you for your feedback, and welcome to the forums!
The game should save automatically when you exit back to the main menu. Alternatively there could be a Decay System setting that’s removing your buildings. How often to you play Conan Exiles?
Star Metal should drop in the northern area of the map, but it’s very rare. Maybe that’s why you haven’t found any yet? It usually comes from meteors, so look out for those.
Finally, the story is told mostly through dialogue with the few NPCs available in the world and through lore tablets and item descriptions. This was an intentional choice during development and right now there aren’t plans to change the storytelling. You can continue after the ending, but you’ll have to make a new character. This is also intentional. You’re forced to make a choice: give up the power you’ve amassed in the Exiled Lands and walk away, or stay behind and remain powerful, but trapped.