Make sure you are running the game from the same harddrive that windows is installed on and using the proper Japanese Locale. Maybe try changing some config settings ingame and see if that creates the config files in the save folder. Only thing I can think of is some window security setting is preventing the game from being able to create a save folder.
Horrible, The interactive screens are not translated and they are necessary , it's almost unplayable (but if you like clicking on random things go ahead). The VN looks good . I will wait for a better translation (Maybe never )
So basically if you want to "fix" your saves you should either play in japanese locale or
Go to Game Folder -> cfg -> init.ini then find line: UserDataDirectory and change the directory to something non-japanese:
Waffle\Yabai for example