So I realized just now that you can download the Windows download from itch on your browser, or you can download it through the itch app. Which way did you do it? If you just downloaded it through the website, then it's not much different than the mega folder. If you got it through the app, it might be worth trying the mega folder download and seeing if it works better there. To double check, there is no save folder even when the game is still open, and you are able to access the saves you've made in game? It sounds like the saves are being deleted when the game is closed, so there should be a save folder while it is still open. You aren't somehow playing this through a browser, right? And if you aren't playing through the itch app, did you try moving the game folder to your desktop? I'm pretty sure this has been reported before, and I think it was a filepath issue, but I can't find the where it was reported anymore.