Nezabyte: Ok, so I started the game up the first time and everything went fine. As I progressed in the game, I saved with the first 3 save slots. I then decided to take a break and exited the game. When I ran the game again and went to the load screen, my saves were gone! Anyone else having the same problem?
Had the same problem, and it turned out to be a problem with the bsword2.ini file.
As Munin5 pointed out, it only happens the very first time you run the game, your saves during that session will be placed in the wrong directory. The problem fixes itself however, as the bsword2.ini gets updated automatically after the first run.
The good news it that you can just copy them from the main game folder (they are called bsword2.0*) to the ScummVM folder directly below. Saves you from starting over again if you got far during that first attempt.