I assume when you use the Vocal Transformer plug-in you're hearing the transposition you dial up in the plug-in window -- as long as the song is open you should be able to hear the effect of the plug-in, hitting Save just makes sure that the plug-in will still be there and be in effect the next time you come back to the song. Plug-in settings are saved just like any other adjustments you make.
I assume you understand that to keep the effect of the Vocal Transformer plug-in you have to set it how you want it, and then you can close the plug-in window but you have to leave the plug-in permanently inserted and active [blue] in the slot. You are NOT recording the Vocal Transformer effect, and Save is NOT recording the Vocal Transformer effect -- the Vocal Transformer plug-in has to be left there and be active [blue] to make that effect a permanent part of the song. If you were to remove the plug-in the effect would disappear -- hitting Save just makes sure that the plug-in will still be there the next time you open the song, as long as you didn't remove it from the slot [that's how all plug-ins work].
I don't really understand what you mean by "if I save under the file (and not close the project), no real savings" -- that doesn't make sense. If you Save your song, close the song, then come back, say, the next day, open it, and play the song, it should sound exactly the same as it did when you saved it, including any plug-in used in the song -- assuming you leave the plug-in inserted and active, as I said. If you don't close and re-open the song, everything would still be the same after you hit Save, so how could you say something wasn't saved..