Configuring preferences and options in Outlook.com
@Hornblower409 thank you so much for the suggestion with the chat! After finding "Still need help?" I was sent on a sign-in cycle/loop whilst using Chrome but managed to get in to a chat via Microsoft Edge. Support was super helpful and from what I can see, they have fixed my issue!
Here are the steps that the support officer Anthony did when accessing my computer:
(I will try to remember as best as I can while trying to keep it simple)
He created a restore point (just incase - I am 99.99% sure this has nothing to do with my issue and just so nothing goes wrong),
had spotted my issue after trying to remove the blocked address,signed out of my Outlook,
opened an Incognito window,
had me sign in to account.microsoft.com > Privacy > Browsing and search > Clear History (try and delete history as far as you can. I think the option he selected for me was 190 days)
I then had to sign back in to my Outlook > Settings > Mail > Junk Mail and then deleted EVERY address in Safe senders and domains THEN hit save. Which it did save!
Anthony then was able to go to my Blocked senders and domains, delete the address and saved successfully.
I have signed out and back in and everything seems to have saved correctly!
Just a quick note, I had a Rule set up (Mail > Rules) to try and automatically block blank senders which he disabled before logging out to go to Incognito then having me sign in to account.microsoft.com so if you have a Rule set up, disable it.
I hope this helps everyone else.. fingers crossed!