A few questions:
1) What is the greatest number of match points saved without, eventually, saving the match?
Excluding that amazing 1930 DC that was mentioned before, match the most I can think of is Kuerten winning the 2000 RG on the 11th match point (all in the 4th set, of course).
2) What is the record for set points saved?
That match from RG final 2000 is the strongest case which I know. I've never heard that someone lost a match after saving 11 match points.
2) I know only matches with saving 8 set points. I suppose the record may comes from the longest tie-break in doubles (26:24). On the assumption that both duos have been winning own services in that tie-break alternately, the pair who eventually won the match, could have saved 10 set points - but it's only hypothesis.