your saves stay in the Ubisoft launcher
you can back them up if you wish to move to another PC of keep them for archive
see
https://support.ubi.com/en-US/FAQ/9/3888/how-can-i-manually-back-up-my-save-game/kA030000000enCFCAY
i bought the Uplay only version of Primal
my save games are in
C: program files X 86 \ Ubisoft \Ubisoft game launcher \ your uplay account id numbers \ savegames \ 2010
the steam version i heard just uses a different folder number at the end
it uses folder number 2029 i think i saw some one post last night on the Ubi forums
here
http://forums.ubi.com/showthread.php/1399999-thank-u-so-much-ubi?s=687e00980c9aaeae7be9cc2496e0b00c
so they would be in
C: program files X 86 \ Ubisoft \Ubisoft game launcher \ your uplay account id numbers \ savegames \ 2029
for the Steam version
i always back up my saves onto a USB thumb drive ..