That is a very odd issue, we never heard that the saves are gone after you close the game.
Do you have admin power on your PC? Because if not, that might cause the issue that the game isn't allow to write the saves on your PC.
I didn't have the option to "unpack" the archive. Only go into it and double click the "game.exe" file. However, unlike most games on the site, it doesn't unpack the game and create an unzipped folder for the game. It just opens up the game directly.
In my experience, about 10% of the games who have this method of opening the game won't save the saves when closing the game.