I have the same issue, and I believe I know a possible cause.
The location the save files are stored in (on Vista) is Users\<name>\Documents\<...> which doesn't exist on my machine - the Documents folder is repointed to my E drive. This, I suspect, is what causes no gameplay or settings to save.
Unreal Tournament has the same issue, with it being resolved by providing a "-nohomedir" command line flag (or similar, I can't recall if that's the exact command) which saves all preferences, etc. to the install directory.
A possible cause for Telltale QA to look at...(if they're listening)...