I too am having this problem; though the difference appears to be that there are still folders for all my slots (1-10) in the data directory, so the quick fix above does not work. (And yes, I use multiple save game slots!) Therefore I assume it's a different problem.
This problem has continually occurred for me in both the demo and full (1.4) versions.
Vista 32 bit home ultimate, on an HP Pavilion.
258 NVidia card
No antivirus software
The save games seem to work until I exit the game. When I come back, they may or may not be there - it appears they are potentially lost overnight or between startup/shutdowns. I'll let you know if anything works.
If anyone sees if I've missed a solution above that might work for me, let me know.