The campaign is supposed to save itself automatically. Are you sure that you did press "Continue" rather than "New" on the campaign start screen? (Should be out of the question, but after what has been happening here for the last week, you never know... )
I actually thought I'd have that problem, too. But then, I re-activated Steam Cloud (for other reasons) and voilà, it worked!
Though it would be very "sad", to say it politely, if saving your campaign only works through Steam Cloud. Ah well, maybe I just had 'luck' and it was for a completely different reason
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