Okay, it's official - I ROCK!
The game deletes the base LevelCache folder whenever I start it.
If I manually re-create it whilst the game is running, nothing is written to it, but the save games work.
When I try to load, the folder is deleted and the game crashes.
Now, if I manually create the base LevelCache folder and insert a file (I used a .jpg) which I then set the read-only attribute for, the game no longer deletes the base LevelCache folder and I can load the saved games which have the Cyseal.lsb file present.