Please make sure you don't have the game installed anywhere in the Program Files directory or a subdirectory of Program Files. The Program Files directory is somewhat protected by Windows so any game that is installed in Program Files can have problems with doing basic things like writing to your save :)

Also, please note that for the time being the game uses a different save file when you're playing with the Galaxy client enabled and when you're playing without it enabled. So if you play the game with the Galaxy client enabled and then decide to play it without the client enabled or running in the background then you might experience an issue where you don't see your game.

Lastly, please note that you can only save the game by visiting a shrine (hopefully I am not belabouring the obvious here :) )