Good question. I suppose both ways could be reasonable, though I'd very mildly lean towards no save - unless someone has a relevant rule section? It strikes me as reasonable that you'd be at a disadvantage when you're prone.
You are, I get combat advantage against you.
No where in the catching oneself description does it state you have to be standing to use it. The main purpose of it is to prevent a creature getting knocked off a cliff into lava without any way to save himself. By being prone its even easier for me to get a power off on you, but you still get a save to save yourself.