there could be many things that are inhibiting the sav:
-- dead battery
-- loose battery (just came out of its holder)
-- weak battery (if you just got the cart, shouldn't be the issue, also you generally get data corruption at this stage)
-- multiple ROMs with saving ability (they are overwriting each other)
confused about one thing you wrote though.... loading an 'empty' set should give you no pre-done data. empty song should be empty. i think i missed the 'problem' in that bit of info you wrote... seems like loading and empty set, and getting emptiness, is just what was supposed to happen...
the NINTENDO logo can be a few things, a corrupted ROM, a bad connection between cart/console, or even the lack of a ROM (usually its not glitched, just missing some letters this way). usually just reinserting it several times clears that up (the LSDJ manual even says to do this i believe).
the ROM disappearing itself is odd though.
not sure if any of that rambling will even help!
edit -- yeah, and what nitro2k01 suggested too, change the batteries in your actual console too. just to check and rule that out if nothing else...