It sounds like the game is unable to write files to the Documents folder. You can bypass this by using the options override.
Here are the instructions:
1 - Create a new folder where you will save game files. Somewhere that is easily accessible. For this I suggest creating, "C:\Game Files"
2 - Open your installed game folder by right-clicking on the game in Steam, and going to Properties > Local Files > Browse Local Files...
3 - Navigate to the folder bin\win32_release and open the "options_override.xml" file in Notepad or Wordpad
4 - Edit line 7 of the file to point it to the directory you created in step 1, so it will now read
5 - Now save the options_override.xml file
6 - Run Stronghold: Warlords
7 - A new folder should be created in C:\Game Files and you should now be able to save and load games.
If you have existing Save file and progress files, you can copy them into the newly created directory (In this example, C:\Game Files\Stronghold Warlords) to retain your progress and save games.