@sselph That looks great, I had no idea it would work that way!
Disregard the rest of this message. I found the solution on the Raspberry Pi Forums. Again, surprised it doesn't have anything to do with network shares but the solution will be the same.
In case someone else stumbles on this post and wants to know the solution I'll be going with; I'll be editing the savestate and savefile directory in the retroarch.cfg file. We'll make this a local destination and worry about space issues if/when the time comes.
I have another problem. I was apparently wrong about it being able to save to the share. The save files I saw in there were all from before I set it up this way and they don't update as we make progress.
When I hold Select + Right Shoulder, it says "Failed to save to /home/pi/RetroPie/smb" or something to that effect. I'll have to play with permissions and stuff on my Windows machine tonight but any advice would be greatly appreciated.
It's weird that I'm not finding anyone else that did a setup like this. It was one of the first ideas I had before the RasPi even came in the mail. Hopefully I'll get all the kinks worked out and write an all inclusive guide for it. Would love to see it put up on the wiki someday! :)
I take that back, I see where a couple of people touched on the subject and maybe more on Reddit but I can't access it at work :(. The one I was able to read barely got as far as I have and made no mention of issues with saving. I'm guessing it wasn't a problem because he was using NFS but I've never played with NFS shares so I can't speak to that.