Did you install TW3 via Galaxy by chance, and is your installed games folder located inside the Galaxy folder? I had this issue during alpha testing and was told about the reason and given a solution from GOG themselves.
If you did install via Galaxy, make sure your games install folder is outside the Galaxy folder. For whatever reason when Galaxy updates, it purges every folder inside the Galaxy install location. This includes games and any save files that are present. Luckily TW3 stores it's save games in a different location in My Documents.
*If you didn't install via Galaxy or your install folder is already outside the Galaxy folder, then I'm affraid I can't be of further assistance.*
Post edited May 24, 2015 by mcgeehe