In all my years of playing Oblivion, I have never had a corrupt save. Sounds like it's more your problem than Bethesda's.
This, with the exception of saves that were aborted when the game crashed with the file open. Of course, since I'm obsessive about saves, I have plenty of fallbacks to use including Streamsave saves.
Never EVER play the game with a single save slot. The one time you do hit a crash and it does corrupt, you'll just be setting yourself up for massive disappointment.
In no way is Windows going to allow a process without open file handles to simply kill your entire save folder like that. Microsoft would have been shafted years ago for it.