Basically, yeah. Since this only applies to single player, if it doesn't affect your personal enjoyment (or if it can actually increase it), why care that it's cheating? Personally I find victories with a lot of reloading / other methods of cheating somewhat hollow, so I try to avoid it. Except sometimes I just want to advance the storyline and try a different scenario, maybe come back to that pain-in-the-ass one later (it's especially great to do that when you have a 'eureka' moment in general strategy that you find out in later scenarios). Or in Wesnoth specifically, I think there are some campaigns that are just about unwinnable even with gratuitous reloading unless you did particularly well on the previous N scenarios; I don't want to waste time replaying previous scenarios that I didn't do so great on but that I still won, at least not so soon. That would just decrease my enjoyment of the game.

Also in a sense save points are a cheat -- back in the Ikaruga and Contra 3 and Asteroids days, if you lost, you lost! Start over. Great fun for me at least. :) Now we have saves, and the enjoyment of the game comes from other areas besides committing to muscle memory a movement sequence that beats a level with a certain score, and someone opposed to saves can always just not save or not load from an autosave... Having quick saves just takes having saves to its logical conclusion of decreasing wasted player time. You have to find your own limits for what constitutes cheating yourself out of entertainment, but if you've ever thought "thank god I saved before I tried doing X" or "damn it last time I saved was hours ago" you might want to give shorter save-load durations a thought.