yea, if you run it through the itch launcher, the game does not work. This is super weird and I have no explanation for it
I would blame the location - that is used by default...
c:\Users\<user>\AppData\Roaming\itch\apps\heros-hour\
AppData is extremely sensitive under Windows. And hence any HDD activity there is pretty restricted by default.
Would be worth a try changing the install location to something like C:\Games\Heros-Hour\ and see if the save/load issue persists.
At least on my Win 8.1 x64 Pro - Anything under AppData works badly.