Hi!
I had the exact same problem with Zeno Remake — my saves would disappear every time I closed the game.
The issue is that Windows blocks the game from writing to its folder if you don’t have the right permissions.
Here’s what worked for me:
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Right-click the game’s folder → Properties.
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Go to Security.
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Click Edit…, select your user.
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Check Full control (or at least “Write”).
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Apply and restart the game.
Since then, my saves stay even after closing 😄
You can also just move the game folder somewhere like C:\Games\ or your Desktop — that works too.