My save states survived fine with firmware updates, but I am not using an SD card yet.
Maybe you could shift some files around and put your zelda games in the internal memory along with their corresponding '.st#' files. It won't fix the SD problem, but you might be able to finish your games. Remember to keep a backup.
If that doesn't work, you could send the save state files to me and I could try opening them. If it works, I will re-save them and send them back. It might just help.