To add: I actually kept real time protection ON, but disabled "controlled folder access" (below it) in windows settings. Hope this helps someone!

I FIXED IT!!
It was windows antivirus, when I went into it's settings and disabled "real time scan" it made the DayZ folder in Documents, and saved it. I will add dayz to be ignored by windows antivirus and I should be OK.

It's also worth noting I get an error sometimes when I close DayZ now (even when it was on D:\) it says 0x0000005 STATUS_ACCESS_VIOLATION
in a little window when I exit most times.

I completely reinstalled Steam (And DayZ), on my C:\ this time (where my OS is installed), last time it was on my D:\ which was for apps/games.
Still not saving.... Wow.
No "DayZ" folder in my Documents folder still. I have no idea what to do this is frustrating.

Do you think uninstalling and reinstalling Steam & DayZ might fix this?

And no I did not change any rights besides password login.

Yep my account is 100% an admin account, and the only account on the computer. And yes in the security tab it says my username has ownership of the Documents folder.