Caesum: I have just noticed that the reason why TRR might not keep saves is also because in "C:\Users\User\AppData\Roaming\TRX" the game might create a new folder for the saves. So when your save disappears just check if a new folder wasn't made. If it was, just copy savegame.dat from the old folder to the new one.
I had it with GOG Galaxy version so if you guys experience it then this should work.
I suspect the .dll file redirects the save game directory to the folder where the GOG version doesn't actually load from, hence the .dll is buggy and needs deleting. GOG is apparently working on a fix atm.