I tried to play Iron Cross for DH with (IC 1.01 #5 for DH 1.0) on DH 1.01b1. When I saved the game it saved in the base game location, but it wants to load the save game from Mod directory.
But it would also be a good idea to make a statement in the how to modding files that a mod needs to make a save game folder.
I can confirm this issue. In my case, Darkest Hour/Mods/Darkest Hour Full/scenarios/save games was an empty file. Can be related to Impulse creating directories on it's own, rather than using some other installer. Nevertheless, devs should check this.