The steps below will allow you actually to continue your game and also circumvent the bug while I'll prepare the real fix.
First at all, only one player (not both) has to save the game. Of course you can do it both, too, but only one of these two saves must be used for loading.
Second, that saved file must be available to both players - the one who saved it must send it to the second player via email or whatever.
Third, the savegame must be located at the same place on both machines (Host and Guest) but *not* directly in the "Saved Games" folder (this is what the bug is about). The simplest way would be to create a new folder called "Multiplayer" inside the "Saved Games" folder and put the savegame there. Guest should also create the same "Multiplayer" folder inside the "Saved Games" folder and also put his copy of a savegame there. He should not rename the file, it is important that both machines have the same savegame path w.r.t. to the root game folder, i.e. "Saved Games/Multiplayer/savegame.cog" must be available and identical on both PCs.
The Host shall then Host a game and press Choose Saved Game button, picking the saved game from "Saved Games/Multiplayer".
The Guest shall Join the game entering Host's IP.
Now pick the sides (note that you can even switch sides if you happened to know each other's password, the side is not bound to the specific PC, so players could pick whatever side they want given that they know the right password), enter passwords and you shall be able to proceed.
Again: the issue is only happening if you have the savegame in "Saved Games" folder. Create whatever subfolder in there, put your copy of the savegame into it and you shall be able to resume your game without problem.