The response is not saved because it may vary between calls.
I think the logic is that only the requests need to be saved. The responses are generated by the server automatically each time.
For example, a 'get time' SOAP method would return a different result each time. I use SOAP-UI at work for communicating with a SOAP server that brokers video connection requests and returns an error code. The error code is different each time so it does not make sense to save it.
You can use the context menu of the request to create a test case. This will let you check the response against the WSDL schema and also assert that the response does not contain a SOAP fault.