Your savegames are not deleted.

They are located in the savegames folder of MB Warband called "A Clash of Kings 6.1 savegames (Steam Workshop) or something like that.

Just create a new one with the same name called " A Clash of Kings 6.2 savegames (Steam Workshop) " and copy paste your savegames there.

Names might not be exact, but the new savegame folder should be named in the same manner, except 6.1 it should be named 6.2, obviously.

Voila!

Now, I don't know if there are going to be any compatibility issues as there has been no word from the developer on the matter. Somebody please let us know in the comments. (Everything seems to be working right on first glance, including Ninestars)