I played for around 15 minutes, and then I had to go. The funny thing is that the save files are there, in the directory you mentioned. My version is the portable one, I don't know if that could make a difference. I'll try deleting it and playing again in a few hours.
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it shouldn't effect it but I will jot down to test the portable specific files, btw I would suggest the installer version anyway its just a nicer experience to be able to launch the game from the program files area, also at a much later time I hope, you can quiet easily uninstall the game via the uninstall programs system in Windows which means you don't have to remember which folder you put it in.
This feedback is very useful as I would like to get to the root of your issue.