How does the save file system work?

Everytime I go to challenge mode I have to select a save file, and for The Two Masters DLC you're forced to create a separate save file. When you go back to challenge mode you have 2 files to choose from, the regular story one and the EX one.

Why couldn't they just unify everything on 1 file? Now when I play the main game I have different upgrade stats from the dlc save file.

It's all so confusing, wish it was like DMC4SE where everything is all on 1 file and you can have all your stats and results on that file.

I'm also wondering does different save files have different leaderboard and record stats?