Issues like that are usually related to windows security settings which block applications from modifying the contents of user specific folders.
If a game likes to write save files to those locations and you have enabled ransomware protection, you'll need to allow an exception for it:
Go to Windows Security -> Protection History -> Protected folder access blocked (look for the game's executable in this list) -> Actions -> Allow on Device
No problem. Unfortunately the prompt for an application being denied access usually only shows up when the game first creates a save point. So you might have to get just far enough until the game saves to trigger it.