Okay, panic not. Firstly, chillis
on the same plant can vary in heat - last year my OH picked 2 chillis from the same plant, one was very mild, the other blew his socks off! This is more likely with saved seeds we've found, as they haven't been bred for perfect, identical performance. Secondly, the blossom end (bottom) of the chilli is usually milder than the stalk end.
And no, saving your own seed isn't 'wrong', it's a great thing to do. My OH and his friend have been saving seed for a couple of years of a 'mystery' chilli which they are convinced they 'bred' themselves...
And we save seed of loads of others such as Cherry Bombs, Scotch Bonnets etc, and they usually do really well.