As mentioned by Warbucks in the comments. Users affected by this issue will need to uninstall the now defunct Xbox Console Companion app and reboot their computer.
An error occurred while saving the commentDamian commented
I was getting a bit disheartened after trying to clean install Psychonauts 2, then having to endure cutscenes only to reaffirm that there was no save.
However, after following the guidance in this thread and uninstalling Xbox Console Companion along with a reboot, Psychonauts 2 seemed to have magically pulled down the save from the very first play and gave me a novel option to "Resume Game"!
I also started seeing achievements pop that weren't happening originally.
Now looking forward to playing through without fear of being saveless. Thanks Warbucks and co!