Perhaps you're confusing a combination of things. While Jesus walked the earth, we were still under the Old Covenant. Just crying out to the Lord is not the same as repenting of your sins and accepting Jesus as your Savior. Jesus was the only Man to walk the Earth that could "do God's will as far as conforming to the Commandments, else (once again) there was no reason for Him to die for our sins.
Then how is it that some were told by Jesus that they were saved, even before He died for their sins and they had the chance of accepting Him as their Savior?