I just gave this a go on a clean build of 3.2.1 and it seems to work fine.

Here is my retroarch.cfg – I have changed the paths to match yours but thats it.
http://pastebin.com/raw.php?i=m8svaJGH

Here is the output to show permissions.

pi@retropie ~/RetroPie $ ls -lah
total 24K
drwxr-xr-x  6 pi pi 4.0K Nov  9 02:01 .
drwxr-xr-x  6 pi pi 4.0K Nov  1 16:46 ..
drwxr-xr-x  4 pi pi 4.0K Oct 28 22:01 BIOS
drwxr-xr-x  2 pi pi 4.0K Oct  6 15:10 retropiemenu
drwxr-xr-x 47 pi pi 4.0K Oct  6 15:09 roms
drwxr-xr-x  2 pi pi 4.0K Nov  9 02:02 saves

Have you overridden it in the system retroarch.cfg or perhaps you created the saves folder as root?