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Hello, I know this issue or equivalent might have was already been discussed here, but I didn't find it in the search - anyway, is that possible to load 0.9.4 saves in 0.9.6 somehow, is there a converter of some sort perhaps?

Thanks a bunch!

Nope. Just save to the memory card they can be used no matter which version.

Save state has their own version and can only work among certain PCSX2 revisions. Even save state from earlier PCSX2 0.96 revisions can not be load in modern revisions.