You have to go into advanced settings and tick the checkbox for "Upload files on save".
It's much safer to use Ctrl+Shift+U to upload. Uploading on Save is dangerous. What if you make a mistake and upload a corrupted page to your server? What will you do then?
I've been using Upload On Save for years. Never had a problem with it.
Depends on your preferred workflow, your skillset and your confidence level.
Most people comfortable with web tools and HTML/CSS are probably OK with auto upload on save because they know what they are doing and can fix any typos or mistakes which they make.
Beginners are better off not using it because they can easily break a website by inadvertently moving or deleting crucial markup (unbalanced div tags are common) and then spend hours fixing it because they don't know what they're looking for or what their tools are telling them; they often hit the forums in panic and desperation in the process.
The trial and error approach mixed with panic often makes things worse and they may not have a good copy of the page to fall back on because they've overwritten it with their bad copy.
I prefer not using auto upload on save. I always do my editing then manually upload.
I'm happy for you.
The Obsessive Compulsive side of me won't allow it. Too much margin for critical errors.