do you run windows 11? you may need to check your folder setting/options. in my case (different game though) i accidentally changed some settings which prevented steam games from saving.

1) Are we talking about AOW4? (I assume 'yes' in order to save time).
2) Are you on Windows 10, like I am? (I assume 'yes' in order to save time).

Then look in the far, lower right bottom of the task bar. You will see a symbol that if you hover over it, it will say "notifications". If you dig into it and find the notifications list, do you see one that said it disallowed access to a folder associated with AOW4? If so, then click on the dropdown and tell it to allow such access. Then try launching the game, saving, and see if the new save file appears properly.

PS: There is nothing you can do to retrieve the save files you tried to make before you granted permission.

Note that other Windows releases than 10 will have something like this for you to do, but it will probably not appear exactly as I described it above.

-edit- I said left when I meant right. Fixed it. Damned dyslexia.

1. AOW4
2. Windows 10

Its nothing in the notifications. :( Thanks everybody for respond.

Could you elaborate whether you run the game as admin or not?