The Microsoft rule isn't all that good either IMO, it's hidden under appdata somewhere. I still prefer savegames to be in your "Documents"/"My Documents" folder, because for support reasons, that is the easiest.
And for technical reasons, it's bloody hard to get them saved in "Program files" or the game folder itself. Same reason why we cannot just ask you where to save them: security, access, and multiple users...
Afaik it's actually "My documents/My games" or the language specific version thereof. Of course lots of lazy devs hardcode the path (so it breaks on non English Windows versions) or dump it somewhere else in My Documents.
