Updated my test, it works 100% for web version of HTML export now, and persists within the session of installed HTML. Though I suppose local storage doesn't really work in "installed" HTML anyway (but if you found a way that'd be great :P). I work on Linux so I can't test Windows executable easily.
Ah, I mean if you're running the itch client and click the "Install" button on a page with an HTML export. It just downloads the index.html and runs it when you click launch. I can't remember if local storage works in such a case.*
Now would be a good time for me to ask if there's an export for a Linux executable?
*Edit: Just tested, actually it does work. At least in Chrome browser, perhaps not in the itch browser. I'll test that now...
...aaand nope, it doesn't work in itch browser.
The lack of persistent local data for HTML5 games in the itch app is a known issue: https://github.com/itchio/itch/issues/861
It derives from the fact that the game is served from a random http port every time it starts up (for example: http://localhost:23982) - it actually does save data, but the next time you start it, it won't load up the correct data.
The fix for that is probably to switch to a custom protocol (non-http), although that may cause other issues down the line. We're aware of the issue though, so there's hope!