Most if not all games have the save location hard coded into the game and it's not user changeable.

Note steam cloud does work

But you are syncing the LINUX save games since CK2 has a Linux native version.

This means that when you go to a WINDOWS machine, your saves don't exist. Because your saves are on LInux

Same if you go the other way, your WINDOWS save games will not show up on LINUX

If you want your cloud save games to be consistent across platforms, then you will need to choose basically that you run the windows version of the game everywhere