Ah one more thing ! On Mac I've ran into this problem when I press esc to exit out the settings.
Hello again!
This is actually well-known problem for all MacOS games made in RPG Maker engine that wasn't deployed in MacOS environment (I'm using Windows PC). Apparently, a game deployed in this way doesn't have all the internal premissions to be able to write a new file, thus, it doesn't allow you to create a new save/ a file for the game settings.
But no worries, I'm planning to soon release a web-browser version of the game (along with the new upcoming public update), which should (hopefully) solve the problem.