It's in your home directory, but it is owned by the root user. If you want to see/copy the files, run the following commands from a terminal:
# sudo -s
# cd .CEEDUniverse
You can back up that directory to retain your save files.
I would like to know where the saved games live as well. I have re-imaged my son's SD card to pick up latest Polaris without any gremlins. I have taken an image of the old card and would like to fire that up in another Pi to find his saved game files to transfer across.
I originally thought that the saves were disappearing too. When you click on the textbox to the left of the Save button, you enter the name of the save you want.
***IMPORTANT*** REMEMBER that save name; including capitalizations.
When you come back into CEEDUniverse, you can LOAD the same game by entering the *exact* same name and click the LOAD button.
You will see the game you last saved load and you can resume from there =8D
Hope this helps!