That code creates an empty ConfigFile object and then writes it to a file.
Try populating the object with some data.
var config := ConfigFile.new()
config.set_value("Player1", "player_name", "Steve")
var error: Error = config.save("res://Game/Config/testfile.vars")
print("config.save result=", error)
Also, verify that this directory exists: res://Game/Config.