Is anyone having this problem? after i close the game all my saves are gone... it really suck to start from the begining evertime...

Saving should work out of the box. Might be some windows / write permission issue.

For me on windows 10 the path is
C:\Users\<my-user>\Documents\My Games\A Plague Tale Innocence\

There you'll find these files:

ENGINESETTINGS
SETTINGS
SLOT00
USERINPUT

"SLOT00" should be the savegame.

Did you manage to sort the saving issue? I have the same problem...

I had the same issue on this game, this came from Windows Defender

It use to block any writing on C:\Users\<my-user>\Documents\My Games\A Plague Tale Innocence\

Here is how to solve it

Parameters => Windows Securtity => Virus protection => actual threat => proctection history

You should have the something like
Thread : APlagueTaleInnocence_x64.exe
folder protected : %userprofile%\Documents

With the action button you should authorize the writting