This has been happening to me since windows 7, but it did used to work on win7 at some point. I think my DL vender (D2D) changed everything to the "complete" edition versions of Civ IV even though I own them all separately. I can tell by the folder layout.
Anyway, I've never been able to get it to work such that you can just click on the save and load the game directly. I've just gotten used to starting BTS normally and then loading the save directly.
You can load mods directly by creating a shortcut (of bts executable) and adding to the "target" field, so that saves a step as well. (note: BUG/BULL can be installed in custom assets anyway so that the mod always is "there")
Actually took me a while to get Civ IV to run at all on Win 10. I had to muck around with the compatibility settings. I use win7 option. (i think in part though that MS has provided some updates that broke it and then later more updates that fixed the issue..i think something with how win handles securerom)
Actually, on another note, there was a point back in win7 after D2D had changed the version that the file types were not associated at all. I had to go into win settings and fix that, but it did not resolve the load issue regardless.
I think it may be a combo of OS and possibly registry settings, but no clue how to fix it. I recall conversations with others who had the issue, but none of us could come up with a solution. If your issue is simply with loading a save directly, I would just get used to starting BTS first and maybe doing what I recommended about mods, so you cut out steps. It's really not bad at all once you are used to it.
By the way, here is an example of what I add to the "target" field of the shortcut to load mods directly:
mod="BAT Mod 4.1"
add it to the very end of the target field line with a space in between