I had the same problem. Found some usefull information on this thread:
Particularly the post:
Since Steam converted game files, your saves may have changed locations. Please make sure that your saves are still in your Documents folder. Please look through this folder and if you see a Gamedata folder, remove it. Also check your Steam directory in the steamapps > common > the walking dead folder to make sure you do not have another set of prefs that was created after the file conversion.
Hope this helps.