It's a standard right now. I have no real history data on why this became 'a thing', however I may speculate that people deleted game folders (the place where save games used to be put) regretting later that they haven't made a copy of saves. This way, putting it in the AppData folder there is only a slim chance they will get deleted, so you can maybe someday use them.
It's pretty fuckin' infuriating, as devs usually buries the saves in several different locations on the C drive; in either the Documents, my games folder in documents, the public folders, the user save games folder, or under the obscure dev company's name in the hidden appdata folder under either local, LocalLow or the roaming fuckin' folder!
It's an irritating trend that is just as pointless as not including rebindable keymaps! I can understand the reasoning behind not including it in the game folder, but devs can at least put the save files in the saved game/document my games folders! It's mostly indie devs that hide and bury the save files though, and I wish the trend would stop!