That's intentional, because if someone gets into the game and invests the hour or more playing and then realises that they didn't allow saved content, that's a major issue. I'd rather have people who don't want files saved locally not able to play than for people to lose all their progress (the game is very long).
The game is basically not worth playing if you aren't going to be saving your progress - it's an RPG!
The game is basically not worth playing if you aren't going to be saving your progress - it's an RPG!