If I may ask, how did you play the game?
Did you double click on the game.exe inside the archive or did you unpack the archive first?
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.