After playing for many, many hours and saving games (auto save worked too), that all of a sudden I couldn't. Even auto save would fail.
I discovered that my anti-virus started identifying Bannerlord as a possible harmful program and was blocking it.
I had to go into my Windows 10 Security (that worked hand-in-hand with Norton) and disable the Windows 10 security.
Norton works fine still but not sure why Win10 Shield decided to block the game from writing to my disk.