I have tried looking in virtual store - nothing. I have tried looking in the gog folder - nothing. I did a default install with no special options.

For me (Win7) they are in the "Games" folder in the main HoMM3 folder.

A lot of the time other game saves are found in MyDocs\Games.

Most really old or non pretend games store saves in the main folder (where the executive file of the game itself is) or a subdirectory down from there. HOMM3 qualifies as a really old. And, as I recall, wasn't weird in that regard, back then it was the normal way to do things, all the "my games" crap is relatively recent invention (as in the new millennia).

Then, I only have played a WoG version a long time ago, and although own it on GOG now, haven't installed recently, so win10/galaxy there can be weird wonders, but I doubt it.