Hello, Orachi.
This is due to a quirk of the engine. Normally, the game saves on the save folder that is in the game's files. But, if the compression is set to Zip (package.nw), nwjs temporarily unpacks the files and deletes them when the game closes (which deletes the save files as well). To fix this quirk, you'll need to use a plugin that changes the save location.
[MV/MZ]: MVMZ-Advanced_ChangeSaveLocation/Advanced_ChangeSaveLocation.js at main · BossRpg/MVMZ-Advanced_ChangeSaveLocation (github.com)