I thought of one other thing, which is a very unlikely scenario: perhaps there's something about that character's name that prevents the client from saving its configuration files. Does the character name have any weird symbols or anything like that? Sometimes people add stuff like that to glitch out the naming system and make it appear as if there's a space in their name, etc. Barring that, it's possible, albeit extremely unlikely, that the character's name creates some combination of characters in the file name that either Wineskin or the client can't handle, causing the configuration saves to fail. If that were the case, the only solution would be to put in a forum petition for a name change.
Also, in the interest of troubleshooting you could try signing into that character on a different machine, or in a virtual instance of Windows using VM software such as VirtualBox, to see if the issue persists. If it doesn't, and you can save your configuration stuff successfully in Windows, then it's definitely something to do with that specific installation of Titanium in Wineskin, or perhaps even something about Mac OS that's conflicting with Wineskin.