I just finished Heh and when I went into next mission - Khmun - my savings were 0. I always try to have personal savings of at least a few thousand but it didn't carry over. I tried going back to end of Heh and playing Saunty instead of Khmun - but same thing, savings didn't carry over. Is this because I am going from Middle Kingdom to New Kingdom?

Personal savings do not carry through between era's. Heh is the last mission of the "Middle Kingdom", whereas Khmun/Sauty start the "New Kingdom". Your savings will automatically become zero when you progress to new eras.