That's interesting. It never occurred me to try saving to the program's folder. Your saved files probably ended up in the windows users folders. Could be something like:
C:\Users\Windows 10\AppData\Local\NESAssetsWorkshop
I'll look into this issue right away and see if it's anything I can deal with. File handling is a bit finicky in GMS2. It treats the program folder and the users folder as two alternatives to the same variable, but maybe I can use a workaround.