Are you running the game in administrator mode? From what you're describing it sounds like Windows is blocking your attempts to save the config file, which also would result in the game not launching if first time config has never taken.
2 Patches Ago
- HD Assets have been implemented.
- Minor functionality bugs have been corrected.

This patch today:
- Monster Guide has been added.
- More minor graphical bugs have been corrected.

Yep, tried that first. Also setting full permissions to all users and making sure the main user had ownership of the folder. Even tried disabling my antivirus. Made a thread about it and a bunch of others are having the same problem. Win 7 Pro if that makes any difference.

What is the normal path of the save folder? And where do configs save? I want to check those next.

C:\Users\username\Application Data\FALCOM\ED6

And you could try this:
http://www.gog.com/forum/the_legend_of_heroes_trails_in_the_sky/saves_config_save_folder_all_not_working_any_ideas/post5