Okay, I got it working and I have found out two things that might be interesting to be fixed in future releases:
On an IIS machine, if you enter the path as relative (../attachments for me), the software will say it accepted the folder in the config, but will still refuse to write the files to the server. (Web and email).
Entering the absolute path will also yield green light from osticket, but this time all attachments are accepted, web and email, but ONLY IF:
Your email is not digitally signed.
I normally sign my emails with a digital signature from TrustCenter, and files attached to such emails, are not saved.
Maybe others want to try and verify this behavior?