When creating a sovereign, the game allows you to include double-quotes (") in the sovereign name. On save, it attempts to create a file name like:
"Sovereign Name"_-1234567890-10.xml
This fails because these are all illegal filename characters in Windows: " \ / : * ? < > |
Further, the game does not warn the user and prompt for a new name. Instead, it silently fails, and the newly-created sovereign is mysteriously unavailable when you restart the game.