I have ticked the three options in Auto-Save, but IDE does not auto-save when compile?
No, it only does so when a new file is unsaved and you click "Compile" (or Run, Build, etc.); then it asks you for a name, since otherwise it wouldn't know how to name the final executable or intermediate files (*.o, *.or, etc). It might try to "guess" it from the program/unit header but it doesn't at present.
Those three options are meant only for auto-saving (or not) when exiting the IDE.
Of course, you can always request in the tracker the features you want