Based on your error and the characters not showing up on Steam, when you set up Cross-Save, you used an alternate Steam ID. This is normally caused by logging in with your email at that time instead of your actual Steam username. You'll need to use Steam's Forgotten username/password steps from Steam's log-in page to get to the point where you enter a code from your email. After that, Steam should show you each Steam ID's username that's associated with that email, and you'll need to use the other one to authenticate, since that's the ID you set up with Cross-Save. Alternatively, you may have used autofill when logging in to Steam, so if you used a computer with multiple saved logins, you'll need to try those.