The permanent and correct “fix”, on macOS, is: Go to “settings => privacy & security => files & folders”. On the list of apps look for VCV and give it write access to your Documents folder. VCV support says they believe this will be fixed in the next Rack release, so that Rack always will have write access to the Documents folder.
On Windows, you need to go to Settings, then “Ransomware Protection” and “Controlled folder access”, and allow VCV Rack access to the Documents folder. This was actually adressed in the Rack 2.0.4 installer and shouldn’t be an issue anymore.