Running on Linux, I had to create the Saves/ dir in Grim Fandango Remastered/game/bin/ to be able to save my progress. It wasn't created at first when extracting the .tar.gz archive.

Raising an old post but I've been looking for hours on this myself - this is to help anybody else looking.

If not in the above locations, try

MacintoshHD/Applications/Saves/SaveData0000

Thanks
Scott