Mad Max does not save. How and why i don't know.
I have the game on Steam too. And there is steam saving it in its on folders and not in dokuments/WBgames/MadMax.

I do not understand why savegames do not work at all.

I found the culprit.

Winderps Ransomware protection,
setting named Controlled folder access.

After an big update to a newer version it aktivatet itself.
Awefull job Microblerp.