Can you save crash dumps in other cases? Make sure your page file on the boot drive (the one with the Windows directory) is large enough to save the kind of dump you've selected and turn off "Automatically restart" so you can see the blue screen (including
the bugcheck code and parameters) and the results of the attempt to save the crash dump.
It's simple really - boot device drivers have special requirements, which lead to the ability to save crash dumps.
A storage driver written any old way won't be able to do this. Windows loads an extra copy of the boot driver, kernel crash dump writing code, plus a bitmap of the page file on the boot drive, then checksums the lot. At blue screen time, the checksum is verified
and if good, the crash dump is written directly to the sectors known to be used by the page file on the boot drive.