Second day playing Blade Runner and the saved games are now lost and when I start to play again, the game doesn't allow me to save again.

Any hint?

Oh, Thank you. I will try to reinstall and restart

In macOS 10.14 and later, you may have to go into the Settings->Security & Privacy->Privacy and give the app access to save to the Documents folder.

I already did and I'm afraid the problem continued

Hello,
I don't have a macOS Catalina but according to this article, this seems to be a new security policy starting from Catalina:
https://www.howtogeek.com/443611/how-macos-catalinas-new-security-features-work/

If the OS does not prompt you for access request, you'd have to manually do that instead:
"""Not every app will request access, either. (...)

Head to System Preferences > Security and Privacy > Privacy and click on the “Files and Folders” option to see any apps that have requested access. You can also grant access to your whole disk by clicking “Full Disk Access.” Note that some apps, like duplicate file finders, will require that you allow access to your entire drive using this menu."""

In Windows, scummVM needs write access both to the user's appdata roaming folder to keep error log and to the game folder where Blade Runner is installed because it creates a "saves" folder to keep save files there.

I think macOS should be similar in which case, you should give access to the game folder too.

On macOS the save files are written in the user Documents folder, not in the game folder (which is a good thing since the game folder is actually hidden inside the application bundle, so not readily accessible). So only access to the Documents folder should be needed.

In my case the application did not ask me permission to access the Documents folder, and trying to save indeed failed. Actually I noticed afterward that saving worked (it does write a save game in ~/Documents/ScummVM Savegames/Blade Runner) but the save game is not available to load. Also I was not able to add access to the Documents Folder only (the + button remained disabled whatever I tried for the Files and Folders access) so instead I gave Full Disk Access to the Blade Runner application and then it was able to see the save game and load it.