A way out does not save progress

I have bought a way out to play local coop with my wife. We play on steam on PC.

It does not save progress for us, which is very disappointing, practically can't play the game because of this. We can't select the continue option, it's like it never saved progress, even though I see the saving icon (round one in corner) sometimes.

I see many users on this forum and some on steam report the same issue. Has anyone ever solved this? It's not a cheap game and not a small developer/producer. Someone should have fixed this.