Known causes for this issue:
- you need to enable Steam Cloud Sync in two places, for the Steam Client overall and for this game in particular
- if you are opted in to a Steam Client beta version, you'll need to opt out into the public version
- you need to run the game at least once using the PLAY button in Steam, before using any desktop or taskbar shortcuts. This enables the game to make the documents/paradox/CK2/mod/ folder.
- make sure steam.exe and ck2game.exe are in the exceptions list for your antivirus app