There is no such thing as an itch.io game. The client (the itch app) is neither needed to run the game, nor to download it. And I am not aware that the itch app would cloud save any of your save games (they could add this as a feature, of course, but it would require some sort of compliance of the games).
So it depends entirely on the game, where the save game is.
And judging by the comments, the developer either did some pretty bad no-no or does not know either.
Try appdata local sillyface and appdata local unrealengine (new subfolders there)