Im not sure, but I make 2 test missions which red-alert, just 4 ulys in Alpha wing in the first, the mission sent to red-alert, load Mission 2(again, Red-alert in mission specs), the mission 2 have a fenris and the same ulys in Alpha wing, and its works, both % and weapons are saved... so, the problem must be the Wings.
EDIT: damn, now I have add Alpha and Beta wings to mission 1 to check if works, now the game crash when loading mission 2, and afer that all is hiper bugus, For exsample, si you try to load Mission 2, you will apear in the default one, uly. Second If you try to restart the campaing to play mission 1, you will apear again, in a Uly which default weapons!
(Im using the No Briefing and no Debriefing in Mission 2, that could be the problem?)