I also had a bug which I've found out was somewhat related to this! Previously, the achievements i have earned in-game have disappeared after every time I've restarted the game.
This hasn't really bothered me much, but recently it reached my attention that you get a 25% xp bonus in future playthroughs with the "Finished the game" achievement. And that achievement is certainly worth having!
The same "Placed Documents on separate disk" bug applies for this, the game does not create an appropriate folder in your Documents.
What i discovered, is that a Profile folder is missing from "Documents\\BioWare\\Mass Effect 2\\BIOGame\\", which normally is there. You can create this folder yourself, just name it "Profile", and your game will hopefully from now on save your profile there. As far as I can tell, this stores your achievements, and it also saves me from having to log in to Cerberus Network every time i start the game.