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Try this directory:

C:\Users\*your user name*\AppData\Local\VirtualStore\Program Files\Paradox Interactive\Sengoku\save games

It may be hidden so you might have to check folder options, that is where the real settings.txt is. Changes to options etc are saved in there. The one in the game directory isn't used (on my PC anyway) win7..

although the game seems to save games in more than 1 place... I have two save games in this folder and auto saves too, but my current save game is the save game folder in the game directory, no idea why???
 
I think it happens when you install to the default folder, or inside the program files folder. Don't really understand why windows does this, it has been a mess since it started.

One way to fix it is by installing the game on a folder in C:\