I am using Windows 10 and Blender 2.81 beta.
So here I have set file destinations for both cache AND the output on the disk, as you can see.
And this is the option I am selecting to Render the animation out, which it does without issue for 250 frames.
When I navigate to it on my PC, the folder ends up empty at the end. What step have I missed here?
Render looks something like this