In the comments, people said they had to edit their file access on the folders, to allow for saving and loading. If you do a search, through, you should be able to find them and how they got it working.
Hey swallowinfinity! For many people, playing the game on Steam has fixed the saving problem. This leads me to believe it really is some permission issue that doesn't exist when the game originates from Steam.
Since you bought the game already here, I can also give you a Steam key if you are interested. Just email me!