I found the issue. Assuming you're having the same issue I had. I had identical symptoms to what you've put above and in the topic title!

The issue relates to Windows 10's protection against apps writing to certain folders by default, including the users data folder.

#### DO THE FOLLOWING AT YOUR OWN RISK. IT INVOVLES ALTERING WINDOWS SECURITY SETTINGS...

Steps to resolve the issue:
- Hit Settings > Update & Security > Windows Security
- Click on Open Windows Security button at the top of the right side of the window
- Select Virus & threat protection
- Under Current Threats click Protection History
- You will see the apps attempts to write to the save folder
- Select one of them
- An option to permit will be available
- Select and acknowledge
- Sorry I forget the exact way the option shows up as I already selected and completed it!

I did the above and now my game works fine.

Windows 10, Steam, North America, English

Best of luck!