I am not a windows expert, but a couple of questions/suggestions.
The number one is, are you running any plugins? And if you are, does the problem occur when you run with no plugins?
I presume you retried the save and the "permission denied" continued after you had checked that nobody had a handle on the file?
Are you using windows native dialogs or GTK dialogs? And does the problem occur when you try the other? I vaguely remember something about dialogs having locks on files or directories because they read the metadata to populate the dialog.
IIRC the `gio_unsafe_save_backup` needs `use_gio_unsafe_file_saving` set as well.
Does the problem occur if you have neither `use_atomic_file_saving` nor `use_gio_unsafe_file_saving` nor `gio_unsafe_save_backup` set?