That's correct, my windows profile name has cyrillic letters.
As noted above, it's cyrillic letters, not a pictogram, you can try symbols like и й д м р т.
Just to make it clear, all the games are being run from paths with english symbols only.
For the sake of this debugging session I tried adding some cyrilic letters to the game folder name - it runs just as well, not a problem, still fails when saving.
I wonder if other games may be using some kind of an alias like %USERPROFILE% to safely save a file (no idea if even remotely relevant for renpy though).
As to the config.save_directory fix - I couldn't find the
options.rpy file, but the fix proposed by
LadyOfSpiders did in fact work for me.
I'd like to thank everyone involved here for trying to get to the bottom of this. If I can provide any other information to further investigate the issue, I'd be happy to.