Have you made note of the "path" to where the file will be saved? Usually see it before clicking OK or Save and should see the type of file. Many times I will see a newly saved file at the bottom of the list of files in a folder.
The problem is with Word, not Windows 10, apparently. This message appears both when i export as pdf and when i use "save as" in Word. Until very recently it has worked flawlessly.
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