Hello,
I had the same problem and with the new patch i decided to understand what goes wrong.
Comparing the folder structure with a VirtualBox install ( not working ) I found that the save game directory in the user profile is missing in wine.
So in winecfg i set the install of type windows 8 ( 7 should work too ) and I created the path :
{WINEPREFIX}/drive_c/users/{USER}/AppData/LocalLow/Obsidian Entertainment/Pillars of Eternity/
And added "CurrentGame" and "Saves" folders in this path. And it worked
I hope it will also solve the problem for you.