I changed the folder inside AppData/Roaming to "pixelorama" but it still won't save most of the palettes. It's weird, it saved a few of them, but it won't save any others.
Here's a screenshot showing a freshly imported palette; notice how the program shows what the file path is supposed to be, but the file isn't showing up in that directory. Even when I edit the palette or close the program, it still doesn't show up.