al_save_config_file only fails in a couple of cases. One, where the files fails to be created, to be saved, or to be closed. Two, where there is an error in the file stream.
allegro.log will be created in the same folder as your program if the version of allegro you linked to has debugging logs enabled.
Your best bet is to debug this yourself. Set a breakpoint in config.c:433, and then check the return values of retsave and retclose and see if there was an error. If the breakpoint isn't triggered, then the file couldn't be created. If retsave is false, then set a breakpoint in al_save_config_file_f and step through the function checking return values.
I can give you a short tutorial on debugging with gdb if you need help.
Can you provide a small test case that fails for you? And provide the config file and source file you're using? That way I can test it out on my machine and see if it works for me or not.