Re: Not Saving Progress or Video Settings
So I figured out the issue with this game and others (Battlefield 1 for example). The problem was with Controlled folder access in Windows 10 (newer feature with Fall creators I believe, and also in the Insider Preview builds which I'm running). Once I turned if off, everything works perfect. I would see an error when launching the games that the folder access was blocked, but everything ran fine so I assumed it wasn't an issue.
To check the setting, open Settings > Update & Security > Windows Defender (left nav) > Open Windows Defender Security Center > Virus & threat protection > Virus & threat protection settings and then scroll down to Controlled folder access. I turned mine to off, and everything works now.
Hopefully this may help some of the other folks having this issue.