Hi Skylene,
In a packaged project your saved games should be at C:\Users\YourUserName\AppData\Local\UE4 Project Name\Saved\SaveGames
There’s also a ‘Get Project Saved Directory’ node that will help you verify this.
My first thought is that you might not have permissions to write to AppData folder. Is your computer/account in a ‘restrictive’ environment? (school or work computer?) - any different results right-clicking on the executable and running as admin?
That’s all I can think of, let us know if that helps.