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Your problem is that you don't seem to have administrator access to OneDrive which means the game can't access the folder it needs to. What you can try is this:

Right-click the OneDrive icon in the taskbar > Settings > Manage backup > uncheck "documents". This doesn't actually stop you from using OneDrive's documents folder, but only stops it from absorbing files from your computer's documents folder.

After this boot up the game and this should create a new folder in your "real" Documents folder ( C:\Users\YOURNAME\Documents\Paradox Interactive) > start a new game > try to save it. If this gives you an error please attach a screenshot of it.