Late answer, if you're still trying to figure it out:
Yeah, it should be in "celeste-win/Saves" (or "Backups"). If they're not there (and/or the folder doesn't appear), try doing a search in the top-right for "settings.celeste" in your user folder, and the save folder should show up; right-click on settings.celeste and select "Open file location" near the bottom to find the rest of your save files. If somehow something really bizarre happened, the save folders might be hidden; enable showing hidden files in File Explorer by going to the "View" menu and checking "Hidden items".
If you're able to find them, you also might want to keep in mind, when you copy the files, that 0.txt is the first save slot, followed by 1.txt for the second and 2.txt for the third (they might also show up without the ".txt" extension, so just "0", "1" and "2"). Hope I could help if you haven't already figured it out.