Where exactly are you trying to save the game to locally? By default it should be this location - C:\Users\Your Windows Username\Documents\Sports Interactive\Football Manager 2023\games
Is that the case for you?
If when within the game, you go to FM - Save As, can you then click 'Browse' and try to save to a different location? Say perhaps to your desktop? We'd suggest trying that.
If it's blocking you saving entirely, there may be a corrupted install, so would be worth uninstalling and reinstalling, making sure any anti-virus program isn't interfering with the game (instructions on that here - https://support.sega.com/hc/en-gb/articles/9997322566545)
All your cloud saves will automatically be kept safe during this process. Let us know how you get on. Thanks.