My bf had this exact problem and I just managed to solve it. Like Matthaeus suggested it seems like the folder name containing special letters of the user in C:\Users is causing this issue. Changing foldername solved it for him and Wolcen now can save the characterfile in the correct location, and his characters are no longer gone when restarting the game.
I followed this guide on how to securily change foldername of C:\Users\
Note that you need to do this from a different user with admin rights (I created a temporary account with no connection to a windows account). I also suggest backing up the files before doing this. If you are the least bit uncertain you can probably wait since a patch will probably fix this issue.