Thanks @Wrathchild for the input (your ATR works actually), I finally found the really "silly" issue: long story short you need your "save game disk" image to be 133KB (Medium density)
Originally, I created a Medium Density image with my emulator and tried to format it with my 800XL (DOS 2.x) using the SDisk-MAX; it failed
SDisk-MAX FW 1.2 should have fixed it also for double density (https://github.com/kbr-net/sdrive-max/issues/32) but apparently it is not working.
So I used a Single Image (90K) and I was able to format it once mounted on the SDisk-MAX however it failed to save the game state.
Looking at the size of the original game disks (133KB) I created and formatted just using the emulator and then mounted the image in
the SDisk-MAX and I was able to save the game state.
Problem solved.
Best,