In the earlier updates the save folder have in the main game folder. Back then, when you downloaded a new full update you would have to manually move the Save folder from your old game to your new game.
But more recently, they moved to a central save location like they did for other games. Assuming you are playing on Windows this is in
C:\Users\<name of your windows profile>\AppData\Local\SotS
So now you don't have to worry about saves, if you install a new full update it will automatically find your saves in the central location.
Cheers,
Nigel