I believe this issue comes from different situations, so here i just want to share my solution. when I started my game from steam, I found main menu loading and continue button are grey out. so I checked the game log file in C:\steamapps\common\Pillars of Eternity II\PillarsOfEternityII_Data\output_log.txt, I found this:
System.UnauthorizedAccessException: Access to the path "C:/Users/FENGYI~1/AppData/Local/Temp/Obsidian Entertainment/Pillars of Eternity II/TempSaveData" is denied.
at System.IO.Directory.CreateDirectoriesInternal (System.String path) [0x00000] in <filename unknown>:0
at System.IO.Directory.CreateDirectory (System.String path) [0x00000] in <filename unknown>:0
at Game.SaveLoadManager.LoadSaveGameMetadata (System.String filename, SizeStyle sizeStyle) [0x00000] in <filename unknown>:0
at Game.SaveLoadManager.LoadAllSaveGameMetadatas (SizeStyle sizeStyle, System.Boolean& abortSignal) [0x00000] in <filename unknown>:0
at Game.SaveLoadManager.CacheSaveGameInfoThreadFunc () [0x00000] in <filename unknown>:0
(Filename: C:/buildslave/unity/build/artifacts/generated/common/runtime/DebugBindings.gen.cpp Line: 51)
Error loading save game cache!
(Filename: C:/buildslave/unity/build/artifacts/generated/common/runtime/DebugBindings.gen.cpp Line: 51)
Pillars II saves cached.
To me, the problem is the pemission to the temp folder: "TempSaveData", so I created one and named it, then started the game, the loading / continue button comes back, so enjoy it.
Hope you can read the log file, search "save" to find out your reason on this problem.