So last night after I purchased the game on Steam, I played for a few hours and then shut down the game and went to bed.
Today after work I fired up the game and lo and behold, no character to be found.
Searched around and saw this had been reported a few times and that the suggestion was always 'change your windows saved games location'.
The claim was that the bug was due to some sort of non-ascii char in the character name or windows account name. Well.. I don't have any of those, and changing the directory and then creating a new character resulted in the same behavior.. Nothing saved anywhere, no ability to play the game etc.

Switched to online mode and at least I can save and continue game play, but that is not ideal when I just want to play locally on my machine.

Please investigate and fix this issue since it's obviously not just an issue with my system and other people seem to run into it. I am a bit frustrated by this as the game looks to be fun, and while I have a work-around (play online) that won't let me eventually move that online char offline so I will effectively have to start over again :/