Was Rex playing on Andy's profile or a new one? If it was Andy's profile,did he wonder why it's in a different level than the last time he played? If it was a different profile, did he wonder why there was a new profile he didn't create?
Never mentioned it in the movie. Derp.
The toys aren't that dumb. There a few explanations to this.
-New profile.
-New profile that Andy had abandoned.
-Andy beat the game and Rex was replaying levels.
-Andy doesn't bother playing the game anymore so it's not like he'd notice.
--------------------------
Solving Plot Holes 101: Learn to use your Critical Thinking skills.
Since the game was on the Super Nintendo there is a small chance it didn't have save files. While exponentially more games on the SNES had the capability of saving your game (as compared to the original Nintendo that literally only had a handful) not all of them did. Chances are this was a password-based game where you were given a password upon competing a level so you could pick up where you left off instead of starting from the beginning.
If the cartridge did have save files, games back then only had 1-3 files, so any case like the above commenter. Or, even, a friend came over & started a save file & hasn't played it since. But really it was probably just a detail the filmmakers overlooked. It wasn't something that was a given with video games back then & especially non-gsmers wouldn't think about something like save files