Downloaded most recent, ran NL to get a couple save errors, then I exited NL. Game didn't generate directory "save".
I created the "save" directory myself, and the game is very happy, it created hotkeys.ini, settings.ini, and userdata.nxsv inside. Settings persist as expected between settings. Thanks!
Speculation: Your makedir call breaks in Wine, no idea why, and everybody else uses Windows.
-- Simon