It's not just the Savage. I had the same problem with Hornady 338 Lapua brass in a full custom Bernard PL/Bartlein Barrel rifle and these were pretty light loads. At first I though there was a problem with the action/extractor, but decided to try some Lapua Brass first. To make a long story short, I never had another fail to extract with the Lapua Brass. I've never had a problem with Hornady Brass before, but I guess it's too soft for the .338 Lapua.

Just switch to Lapua Brass/Ammo and you should be fine.