that's strange maybe under another user? just checked it on my system and the save folder is there. maybe try to insert into win + r or the explorer adress bar and check where this leads to:My saves are not there.
%USERPROFILE%\AppData\LocalLow\Bdotlabs\Erosphere
other than that the only way (atleast that I'm aware of) this wouldn't exist is if you didn't create a savegame yet