I thought a new post was needed for this Ransomware Protection thingie.
Further investigation into this Ransomware Protection thingie was needed as several other of my games use saves in the Documents folder, so I turned it back on and did the steps below.
If you click "Manage Ransomware Protection" and on the next screen select "Allow an app through Controlled folder access" the next screen gives you a "+ Add an allowed app" select that box and then "Browse all apps" choose sh4 - Shortcut and voila your games should work just like mine are doing, you don't have to disable Ransomware Protection after all.
