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Hello.
I'm playing GTA 3 and I saved my process and I closed PCSX2 Nightly. When I launched it and load my game by pressing F3, I got a message says failed to load save state. That happened after updating PCSX2.
That happened with my other games!!

that's what was written in the warning you read before updating.
moved out of bug reports

The warning is there in the update notes, use in-game saves for long term storage instead of save states as those should always be compatible.

But also figure out the date your safestate is from and try a version from dailies around that date.