It's a normal feature of Ren'Py. All Ren'Py games work that way. The save files are stored independently in two locations. One inside the game's installation directory, in subdirectory game/save. The other is in a standardized hidden subdirectory of the user's home directory. Where precisely that is, depends on the operating system. I am on Linux, so in my case the second copy of the Pale Carnations save files is located in the subdirectory .renpy/PaCaGame-1554919452 of my home directory, even though I installed the game itself on an external drive.
PS: As a result, you do not lose your save files on your local computer if you just delete the game itself. On the other hand, if you install the game on an external drive (may be a bit slow on a conventional drive or USB stick, but I found that a fast external SSD connected by USB C works very well), then you keep your saves even when alternating the computers you are using the drive with. I never tried it, but I expect you can even switch between different operating systems that way. You only need to actively preserve your saves with games installed on the internal drive, when changing or reinstalling your computer.
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