EDIT: The Permadeath Bug
As the title says...
I died and since it wouldn't reload, I had to restart my game. And since it clearly didn't save the checkpoints (even when it showed the icon), I have to start all over - I've gotten far in Episode 1 and refuse to start from scratch. I made sure I was in an empty save file to make sure it actually saves.
After looking through the Documents folder in the Walking Dead Final Season, there is no saves folder - which really only means one thing - Permadeath. You are forced to start over from scratch.
As a side note, there is an error connecting to the Telltale servers when trying to log in - my guess is that Telltale intentionally forces you to be logged in to your Telltale account to save your progress.
This is a game-breaking bug for PC that needs to be addressed ASAP.
Comments
On Xbox one there's Auto saving and checkpoints
I know that there are auto saves and checkpoints; however, the checkpoints and auto saving doesn't work - forcing people to restart from scratch (at least on the PC side).
It definitely wouldn't be my PC (GTX 1070 Ti/Intel i5-4690).
Ahh see that's definitely a bug not a feature I'd suggest reporting it as a bug.
As there is really no point in playing Episode 1 any further, there is really no choice but to wait until Telltale releases a patch to fix the Permadeath bug and see if my save is returned to me.
Yeah, I can tell you for a fact that this... isn't supposed to happen. I don't know what's causing your problem in particular, but you should head to Telltale Support and talk to them.
However, there are two simple things that may be worth trying: verify the game's cache (right click on the game in the Steam library, select 'Properties', go to the 'Local Files' tab, and select 'Verify integrity of game files'), or just reinstall the entire game. Sometimes things just don't download correctly, so it's worth a shot.