Well bugger me. I have had this problem since the Beta. I have asked on several forums and thought, seeing as no-one had an answer - not even the mighty Google, I would ask on Neowin.
But as soon as I did, I had a thought. Maybe there is a Service that is stopping this crap from saving to Skydrive. So I had a look and WebClient caught my eye.
WebClient... Enables Windows-based programs to create, access, and modify Internet-based files. If this service is stopped, these functions will not be available. If this service is disabled, any services that explicitly depend on it will fail to start.
It was disabled so I started it. Sure enough Office 2010 now saves to Skydrive. Yay.
Can't believe I solved it all by my lonesome. Anyway enough gloating, I hope anyone else having the same problem gets help from this.