More specifically, the game appears to save properly, but when I check Load Games, the menu is empty.
As trite as it may sound, I would throw the fault squarely on Win10. I had to switch to it as of lately due to having to get a new laptop (I'm using things that are Win-only, and there's no way of getting a new machine that actually has pre-Win10 drivers) and damn is the thing a complete disaster ... I had to waste whole days to make the thing not “functional”, not even “barely functional”, but only “questionably functional”, because it's just that bad of a piece of [insert profanities here]. I actually lost data from a project I've been paid to work on, as well as a month's worth of backups, because it's just that much of an unworking mess (not going to share the details for now, but suffice to say no OS should ever be doing something like that). -100/10, would never recommend anyone any Microsoft-made product ever again. Try running the game with admin privileges, if this helps then you'll know where the issue lies and if it doesn't then we'll at least have eliminated that possibility. It's also possible that it's Steam cloud not playing nicely with Win10, but that doesn't change the fact that the OS is terrible.
Existing saves disappearing is a known issue with the game. Part of it, but not all of it, seems to have to do with poor steam cloud support, as the frequency of the glitch drops (for me at least) if you disable steam cloud. This won't stop it entirely though. As a workaround for the remaining glitches what I do is make a backup copy of the current save file every now and then once I've been playing a while IIRC they're in Documents/Gaslamp Games It probably won't ever get an official fix because the company ran out of money
