you haven't installed many games in the last 20 years, did you?

Slightly longer explanation:

installation folders are protected and can only be modified with administrator privileges. And since you should not play games with Administrator access, games have adapted to save user data in one of two places:

1. "Documents", where the user might see it (e.g. if he's looking for screenshots he just made, or wants to add mods)
2. "Appdata", where most users never ever look.

also, most users would never change the default locations, so asking for them would annoy more people and help almost nobody.

if you want to change the default locations where files are saved, there is a section in the readme about that.

Oh, thanks for the explanation...