Went through a week of trail and error and this seems to be a solution (at least on my computer):
Open Sudoku, go to your profile through the 'Profile button' (level and name button), new screen opens, click My library, click your installed game Sudoku, click the green button 'Play' on the right side, Sudoku opens again and you can play levels and the progress will be saved. (Leave the 'Profile screen' open during play). After you close Sudoku and re-open with the green 'Play' button progress has been saved.
I tested it many times and if you start from the green 'Play' button my progress has been saved every time.