I do have to go for a while but i did found out something rather strange:
When i open the game launching SCUMMVM from outside the launcher, the game saves to the "saved games" folder inside the scummvm installation as should.
When i open the game from Launchbox, aside from using the global options instead of the game speciefic one, i noticed that i don't have a saved game and when saving a new game, it saves under the correct location inside scumm vm with this file name: monkey2-1.s01 (added "-1" to the file name).