I am having the same problem. Though the game sometimes load only part of my saves, or none of them (mostly).
I've been searching for answers on this topic since i bought the game two days ago on Steam (Big mistake as i later discovered that GOG had an awesome discount and i just didnt see it in time, whatever.)
Have any of you guys from Obsidian addressed this problem directly? Until now, only the players are giving real solutions and i havent found one single answer from Obsidian whether it is a bug by the game or a Steam installation problem.
If it is Steam, why not try to solve it between the companies? Way better than having your customers in a bad situation.
I know the game is incredible and you guys might not be afraid in any selling problems, but please help those who are supporting your company.