Can I still play with the save from the disc if I purchase the digital version of RDR2?

yes, all your saves are initially on your internal HDD and also backed upto the cloud when connected to the internet, so as long as you are still playing on the same profile , then there will be no issues with saves

well if you playing the digital version from the marketplace you will not need the disc but if you are playing a version of the game saved to the hard drive from the disc, you will need the disc in there if playing that version of the game, but the marketplace
one a disc is not needed.

You would only need to do this if you purchase the All digital Xbox One S that has no disc drive. If you purchase an Xbox One S or X with a disc drive they can still be used there. But there is no way to convert disc games to digital versions.

Is there any way for me to exchange the games from disc to digital?

If they cost the same price, could I not bring the disc somewhere and be able to swap it out for a digital version of the game?

A disc is a disc and only lets you play the disc version of that game on the platform for which you buy it, so if you're buying a physical disc of a PC game, then it's NOT a Windows 10 Play Anywhere title. That designation is for digital purchases only.
So if you're not buying digital, then you don't have to worry about that.

Regardless of that, if you purchased a disc copy and a digital copy, then it's not going to stop you from playing either. You can play the game digitally w/o the disc, or you could take the disc, install it and still play it. It's not going to lock you
out of anything.

Hello, I read your post, and I believe I understand your position. The Xbox Ambassadors are here to help.

First may I ask is your Xbox a digital or disc version? Also these games that you purchased, are they digital or disc version?

The reason I ask is, yes infact internet is required to play some games, and is required for auto save features.