I'm not sure about the steam version of morrowind but I know that in regular morrowind you need to set it to be an administrator in order to save in windows 7. Try right clicking on steam and then properties, compatibility then check run as administrator. I had this problem with my CD version and that's how I solved it.... also sometimes steam downloads are corrupted (like my HL:Source wouldn't show any weapons even though I could use them, but I couldn't really aim...) this was solved by redownloading it.
I hope someone can come up with better answer then these but if you end up closing your game, you could try them. :S