Anecdotally, I bought Dark Souls not knowing it required a Microsoft game profile to save your game at all -- no local saves whatever. I wrote a (really bitchy) email to Steam and was promptly offered some sort of "special circumstance" refund.
Incidentally I didn't even follow through with it, though I never played the game even once...
I'm currently playing Dark Souls under Windows (I bought it during a Steam sale some days ago), and don't understand this. When the game launches it needs and account in "Games for Windows Live". I created an offline (local) profile without any trouble. Honestly, I don't know if my saved games are going to the cloud or not, but the game is working and I didn't have to sign up for any service or give an email address.
Here's a short (less than one minute) video on how to create a local profile:
Incidentally I didn't even follow through with it, though I never played the game even once...