You are not missing anything. For some reason the game prevents you from saving.
I've heard that Steam version removes this problem for some. But the thing is that Steam version is the exact same game. This leads me to believe that it's still a matter of permissions, because Steam game originates from Steam so permissions don't become an issue there when you've once given Steam all the rights.
If you bought the game already, you are also entitled to Steam version. You can email me and I can give it to you. I believe you got my email while purchasing it from here?
Otherwise, I'll try to investigate what could cause the problem.