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There should be TWO files for every save.
The .cfg which is the configuration file and the .eug which is the game data file.

If you can load the save game and play it you do have the .eug file in the save game folder.
 
Start a game, play 1 month, then save the game, call the game Test1,
Then go to the ".../HOI2/Scenario/Save Games" folder, See if the game is listed there, if it is not and you only see Test1.cfg, then run a search on your system for Files named Test1.eug.