Telltale Games not Saving?

Has anyone else had this problem? I bought the Telltale Humble Bundle about a month back and have downloaded The Walking Dead seasons 1 and 2, the Michonne miniseries, and The Wolf Among Us. All games are well within my PCs capacity to play and run with no issues. However even after seeing the autosave icon at the corner of the screen if I exit to the main menu, (or in the Walking Dead Season 1's case, exit the application), all my save data is lost as if I never played it. No error messages pop up it just isn't there. Has anyone else had this problem? All other Steam games are saving my data just fine, it's just the Telltale games

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