Okay, so, here are my thoughts:
- try moving the game folder to a completely different location (to the desktop maybe?),
- try disabling your antivirus software while playing the game (assuming you're using something more refined that the default Windows Defender),
I'm also curious to try somehing out: what would happened if you played the game in widowed mode, while looking at the folder with the saves... and after making a save, you made a manual copy of that file (copy, paste). I wonder if this copied file would also get deleted.
The folder with save files can be found in a path:
After Years 0.13.1 (Win)\www\save
(the game will create this folder after the first initialize)