Try right clicking your Documents folder and unticking the "Read-only" box at the bottom of the Properties window, then clicking apply. It may refresh your computer's Documents settings and therefore allow you to write to that area of your computer.
I was also having a think about this issue and it could possibly be due to an external application or process on your computer. Check Problem A4 of the
Troubleshooting Guide for a list of programs which may cause problems for Amnesia while loading or having loaded the game, and if there are conflicts, try to close their program.
If you have an Antivirus management software, consider also checking if there are particular restrictions put upon Amnesia and revoke them if so.
I also came across this setting in a google search; Windows 10's Controlled Folder Access feature. Look at the instructions on this
website if you are on Windows 10 Falls Creator Update for a potential fix (I could not fully replicate the steps in the end, potentially because Macafe was installed).
Edit: merged posts and placed image in a spoiler tag.