If don't want to fail on one of a mission, use the interim save...Saving the progress helps much to complete certain mission without doing the entire level all over again...
Better save right after completing any one of the missions..If fail, just exit the game and load back (not need exit to Home Menu)..

Also, use the advantage to use items that can help increase the speed of the officer or buy better horse with fast speed, so that you can get to the objectives fast..