In SoftICE you can set a breakpoint:
BMSG <HWND> WM_COMMAND IF (*(ESP+0C)==<Menu_ID>)
(esp+0xC ponits to wParam)
Usually you can look at MENU resources section of file. Find out an ID of "Save as..." menuitem (for example, ID=1219 (0x4C3))
Run program and determine it's window handle using SoftICE's HWND command or with another program that shows window handle (for example, HWND=0x120F5)
BP will be: BMSG 120F5 WM_COMMAND IF (*(ESP+0C)==4C3)

When you select and click "Save as..." menuitem you'll be dropped into SoftIce at right place. Then you may check out whether the save code is present or not