Does installing version 2.9 save the snapshots from 2.8?
No. You need a fresh install. Then, while uninstalling 2.8, you lost the snapshots.
Other than backing up my data, are there any other specific instructions on installing 2.9?
It's a beta product.
It's not being developed anymore (see my signature).
Doesn't this leave me temporarily without snapshot protection?
Protection? Snapshot technology is NOT a backup NEITHER a protection tool.
It's a very advanced system restore feature.