That's normal with vanilla sdt. Save Character is a vanilla feature. If you are using the loader, check the included documentation and/or the following guide for information about features like loader character folders:
Modguy's Loader Revised Saving Guide
If you are using vanilla and have no interest in the loader, then you have 2 options,(unless you are using the android app i am using in the screenshot below)
the first one is the character list backup. This will create a backup file of all the saved characters that you can load into sdt. The second is to create a charcode. To do this, generate custom save data, copy the text generated, and paste it into a text file. Do this for every character, then you can copy one of the codes, paste them into the custom save data text box, and click load. Note this only works with one character at a time.
View attachment 78597
If you are not using the loader and wish to learn more about it, i highly recommend checking out the following:
stuntcock's Getting Started With SDT
Huitznahua's newbie guide
Sby's Common SDT & Loader questions answered