So, I guess it's a known bug among GTA IV's players. Whenever you attack cops/pedestrians or activate the 'Wanted Level Up' cheat wanted level doesn't raise. It started happening to me a few days ago, and I have to make Niko kill himself twice to fix this bug. Now I'm getting sick of it because it happens every single time I launch/re-launch the game, so I expect over at least 30 deaths in my stats from now until I reach the final mission, which really sucks.
There's another solution, but it's temporary too, which is: going to a blocked/locked bridge, but as much as it's annoying to do that every time I start the game, it won't be possible when I reach Alderney chapter, as I'm in the 3/4 chapter atm, and starting a new game will be hard either.
EDIT: It happens again when starting any mission too, but not only when loading the game.