99% sure you have the game installed in c:\Program Files, and Windows doesn't want programs to change/write files in there or it's sub-folders. As DW, or SC for that matter, tries to save them in the scenario folder in there Windows denies this from succeeding. (There probably is a pop-up window to ask you, but it is obscured due to the game being in fullscreen and will time-out eventually) The game needs to be executed as an administrator to allow this. But can be avoided completely if you did not install it into the default install location. But instead gave a custom location when installing in i.e. c:\games\DW. If it is a Steam install however you cannot so easily move or choose where it is to be installed. Well, maybe they changed it over the years. Never had DW through Steam myself.
If you happen to have a normal user account (not an administrative account) the latter method is preffered, as "run as administrator" also substitutes the user-profile folders like "My Documents" of the chosen administrator account). So you won't find your own files in those locations.
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