Exactly.
OPK is a read-only filesystem, so nothing can get saved to or modified inside.
All the program output, like save states, go directly to $HOME/.appname/, which is currently /media/data/local/home/.appname/
When you remove an OPK file, nothing happens to the $HOME/.appname/, meaning that if you install the OPK again or upgrade to a newer version of it, all your save states will still be there.
This is important to know by the people who port their programs to GCW, as they need to take into account that the user might already have save files from an older, incompatible build, and this needs to be dealt with.