Why not? As far as I understand LV_EVENT_RELEASED will be called when you release slider. So save data when slider released.
Besides documentation tells
LV_EVENT_VALUE_CHANGED Sent while the slider is being dragged or changed with keys. The event is sent continuously while the slider is dragged and once when released. Use
lv_slider_is_dragged to determine whether the Slider is still being dragged or has just been released.
In this case lv_slider_is_dragged() should return false in LV_EVENT_VALUE_CHANGED-handler if slider released, in this moment you can save data.