Where are the save games located? I've installed to default suggested path, C:\GOG Games\Stealth Inc. 2 - A Game of Clones, but can see nothing suggesting a save file at this path, nor under %appdata%.

You must have missed it for it is actually located in appdata.

Here's the path to the directory : \Users\yourname\AppData\Local\Curve Digital\Stealth Inc. 2