To get the game to save and be able to change settings, I had to set a custom save path. In the game folder is a folder called "Custom Path". Inside this, creating a txt file called "custom_path.txt" and entering a path on my home with double backslash, like "Z:\home\[name]\Games" fixed the issue.

I didn't really play after getting it to work, because it's still a bit rough for my liking. Walked around a bit, talked to some people, seems to work as expected. This is a steam next fest demo, and I expect things to improve before release.