Well, that is peculiar. It does live in a different folder from the save file, and only under the app_data sub folder (saves live both under the install folder and under a different appdata subfolder. Perhaps some issue with security settings or overactive anti virus software. At any rate, not to worry, that final save file can be used as an alternative to the choices export (I'm expecting there to be some people who just back up their install folder and move machines, losing access to the choices export, and it can use that as a fallback), so if you have that stored you should be fine too.