I had my alternator replaced recently - but when I picked up my car all the radio stations were still in place. Shouldn't my radio settings have been lost because in order to change the alternator the battery would need to be disconnected?
No. The battery cable runs to the starter solenoid. Then a smaller wire runs from the starter to the alternator. Time is money for a pro so they don't take any extra steps. You could also just pull the 30 amp fuse (ignition 3) for the ignition circuit in the underhood fuse box. To be sure just take a look underneath for a shiny new alternator case.
Alternator failure is common on higher mileage saturns. The alt is located behind the engine and gets a lot of heat and no airflow. Had to have mine rebuilt at 115,000 miles.