Hey there! As far as I know save games are not included in the same directory of the compiled game. Not because you're able to load a game means the save game file is included where you have the game files. The only thing to distribute the game is to remove the flag Debug before building it.
Windows: user\Saved Games\Game Name
Mac: Library/Application Support/Game Name
Windows: user\Saved Games\Game Name
Mac: Library/Application Support/Game Name