Why don't they save the autocannon's ammo casings as they do the main gun's?
I don't think they have a policy of saving and recycling even the main gun's casing.
The nets and mats they sometimes set up for firing of the main gun are probably more geared towards protection of the ship, as the casing from the main gun can weight a fair bit, so will likely leave scratches and gorges on the protective paint on deck if allowed to just ping about freely after being ejected.
For lighter guns, the casings won't have the mass to do any damage to the protective paint, so they are less likely to be bothered.
As for why they don't try to save the casings, well I think that is a matter of pure physics.
For ejected casing, they are just going to pile up randomly, which will be a very inefficient arrangement space wise. That means you need a far bigger container to catch all the spent casing then the size of the ammo hopper that held ammo. That's just a lot of valuable space that could be far better used for other things.
Generally, I believe guns are placed and designed to just either eject spend casing directly overboard, and/or the deck housing the guns are built to naturally roll any spent shell casing overboard for a CIWS placement like on the 052C/D, where direct overboard ejection is not realistic.
Think about it, during the heat of battle, the last thing you want is for crew to be tripping over spent shell casing all over the place. Although I guess it's less of an issue on modern warships since you would not normally expect crew to be on deck during an active engagement.