The game is supposed to write the save files directly to the same directory the game is running from. If the game is being denied write privileges or if it's being run from a ZIP file without being unzipped, that would prevent it from writing the save file.
May want to write a dummy file (or config save) when the game first runs, then add a line to the save function to verify if that file was written to the directory. If not, print what you just said.
