Telltale are a bunch of fucking clowns when it comes to technical stuff.
I ended up having to reinstall the game because it completely stopped working for whatever reason in between Episode 1 and 2 (no new hardware installations or driver updates on my end). It's finally working again, and my saved game is gone. Great. Searched for it in my documents... copied over the prefs.prop file, but still got nothing.
I guess I could re-do the first episode, but that's not fun at all. Just going to be 2 hours or of work.
Oh well, fuck it. These guys obviously don't have their shit together with the release schedule and technical issues, so I think I'll just wait until the entire season is done before I play any more. Good thing they already got my money for the whole season in advance, because I sure as hell wouldn't have bought anymore episodes after this nonsense. I'll be very wary of any future Telltale releases as well.