Are you able to save screenshots, savegames, and/or scenarios?
For screenshots: Run command screenshot, or use any of the screenshot buttons in the "Take a screenshot" menu.
For savegames: Start a new game, then save the game.
For scenarios: Open the scenario editor, then save the scenario.

save screenshots

ERROR: Screenshot failed!

savegames

ERROR: Game Save Failed?File not writeable
Only work if saved inside a folder outside %USERPROFILE%\Documents\ or other Ramsomware Protection Controlled Folder.

scenarios

Same, only work if saved inside a folder outside %USERPROFILE%\Documents\ or other Ramsomware Protection Controlled Folder.

1. Can you try downloading and installing OpenTTD from https://openttd.org, then downloading NewGRFs or saving screenshots, scenarios, and/or savegames?
2. Can you try downloading OpenTTD (portable version / zip archive), extracting that to a seperate folder, running OpenTTD from there, then downloading NewGRFs or saving screenshots, scenarios, and/or savegames?

You can add an allowed app to Windows Security's controlled folder access.

https://support.microsoft.com/en-us/windows/allow-an-app-to-access-controlled-folders-b5b6627a-b008-2ca2-7931-7e51e912b034

1. Can you try downloading and installing OpenTTD from https://openttd.org, then downloading NewGRFs or saving screenshots, scenarios, and/or savegames?

Fails immediatly after pressing Yes, download the [OpenGFX] graphics.

Downloading failed

Downloading graphics failed. Please download graphics manually.

You can add an allowed app to Windows Security's controlled folder access.

Can I change the default folder where OpenTTD persists data instead?

Not the answer you might want to read, but this is a known problem and not one easily resolved. Let me explain first what is happening, and I give some solutions in the end.

That OpenTTD stores its data in the Documents folder on its own is not the issue. The problem is that, as this is a new version of OpenTTD, Microsoft is still evaluating if our binary is doing something evil. As it builds up score over time, this will be less and less of a problem (reputation score).

If we would sign (#8056) our binaries, that will quicken the process by a lot. We are working on this, but it is a slow process to get a code signing certificate (long story, poke me on Discord / IRC if you want details). So for now this is a bit what we have to deal with till Microsoft realised again this version too is not harmful (they are fully correct in giving this some time btw).

That gives you as user two options:

1. add OpenTTD as exception to Windows Defender (see link above)
2. use the portable version of OpenTTD. Download the zip. Extract it anywhere not under Windows Defender's control. Either copy your current openttd.cfg to this folder or create an empty openttd.cfg in that folder. Start openttd.exe from there. OpenTTD will now write all new files in that folder.

Both basically bypass Windows Defender, so both are equally "bad" or "good", what ever your frame of reference is.

Hope this helps!

Looked into it some more, and indeed, solving #8056 should really help preventing this issue. So I am going to close this ticket for now, as having two tickets with the same solution is not helpful to us :) Let us know if either of the two options doesn't work, and we can help out further.

Tnx for the report, especially the details. Much appreciated!

2. use the portable version of OpenTTD.

This doesn't work as well, for the same reasons of the others (it tries to write inside %USERPROFILE%/Documents)

The tip to create the openttd.cfg on the openttd folder also works for the steam Release. I now have another issue where I can't download anything that is not a NewGRF but that's another, new issue. Thanks for the suggestion.