Finally figured out the issue.
Windows Defender has got some new feature called 'Controlled folder access', and even though I had white listed CIV this feature had to be turned off for it to work. I can now save my settings and save games!
I've got latest version of Windows 10 with Windows Defender.
I've added the steam folder, the CivilizationVI_DX12.exe and CivilizationVI.exe process to the Windows Defender Exclusion list. I don't have any other anti -virus or -malware software installed.
I don't have the folder...
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