No disk write
Writing to disk is not permanent. i.e. save a file to a blank floppy, restart core and file is still there, close core and then re-open, then the file is no longer there.
Linux version of Hatari core will write to disk OK. Just Windows build not writing to disk
I had the same problem here on windows: changes/writing to disk were not permanent but I found the solution:
For some reason changes are only kept/made permanent if you quit via hatari's menu after saving in the game -if you quit via retroarch changes won't be saved.
So make sure you quit via hatari's menu (by default press start on the controller) before quitting RA (also make sure 'Write Protection' is turned off as well).