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Under Python 2.7.11 (Win 7), saving of the IDLE shell output produces no file if the output contains non-ASCII characters, e.g. after doing (before this, it does work):
>>> print u'sp\xe4m'
späm
>>> 
When saving (generally), the cursor also moves to the next line.
Maybe the default file type for the shell save dialog(s) can be changed from 'Python Files (*.py, *.pyw)' to the other entry 'Text files (*.txt)' as the resulting file will normally not be a valid Python file (e.g. due to '>>>' prompts).

You raised three issues.
1. If you run IDLE from a console (Command Prompt or Powershell) you will see the no-save cause.
C:\Users\Terry>py -m idlelib.idle
Exception in Tkinter callback
...
 File "C:\Programs\Python27\lib\idlelib\IOBinding.py", line 433, in encode
 config_encoding = idleConf.GetOption("main","EditorWindow",
NameError: global name 'idleConf' is not defined
This a bug I introduced into 2.7.11 and have already fixed in the repository (hence 'out of date'). The line above is only executed when there are non-ascii chars, which is why saving worked before you added the non-ascii char.
To get the fix now, in your copy of IOBinding.py, move the line
 from idlelib.configHandler import idleConf
in "def _io_binding" near the bottom of the file to the end of the imports near the top. Remove the indent before saving.
2. #21140 is about making the default for mixed code and text files .txt instead of .py.
3. The insertion of /n into the Shell text widget when saving it seems like a bug. I opened #26353 for this.