PKodon: Well, I just tried starting a new game to see if that deleted the save files, but no, that doesn't seem to affect them, either.
I've done file searches, registry searches (hm, didn't use that numbered folder name, could try that), nothing so far.
I've submitted a support request, but no idea when I will see a response. Also, I did it under the game, perhaps I should have done it as a support request for GOG Galaxy? Well, we'll see what happens, if anything.
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UPDATE
Okay, I followed a couple links from GOG.com in a web browser and found that you have to:
1) Run GOG Galaxy
2) Launch the game from there
3) Once the game is ready to load or continue, ALT-TAB back to GOG Galaxy
4) Click on the icon for managing your installation and Show Folder (a Windows File Browser window will pop up)
5) Now, in the folder tree to the left, pick Documents and look for Horizon Zero Dawn.
Once there, you should see a Saves directory and be able to delete stuff from there.
Oh, also, when I clicked on Documents, it took me to OneDrive/Documents,
so on my system, the saved files were stored on OneDrive.
I did get a reply from GOG support, and, after telling them about OneDrive/Documents, they confirmed that, if OneDrive is active, the saves are moved to OneDrive. To find them in the normal Documents directory, OneDrive has to be disabled. (I'm going to keep it as it is, after all, two backups is doubly protected, right?)
Thanks a lot man i found this thread almost an entire year later but its been really helpful! thanks lot again :)