Saves are stored in your LocalLow Appdata folder. Google how to find it. The most likely scenario if that you've somehow changed the permissions on your user account such that the game's executable cannot write to that folder. Run the game in administrator mode and check on that KeganiLab folder in Appdata/LocalLow. Make sure it's not stuck as a read-only folder or whatever might be preventing it from saving.
Don't spam.
Don't spam.