Two things, I would like to note.
First, in my saves folder, there are only the thumbnails. Perhaps the game stores the data within the pictures ? Second, the game hoards the whole Roaming/Games-folder for itself. Result from Tree:
e:\Roaming\Games>tree
Lista över mappar i miljövariabeln PATH för volymen AppData
Volymens serienummer är 123
E:.
├───game
│ └───log
├───sherlock holmes contro jack lo squartatore
├───sherlock holmes jagt jack the ripper
├───sherlock holmes kontra kuba rozpruwacz
├───sherlock holmes versus jack rozparovac
├───sherlock holmes versus jack the ripper
│ ├───log
│ └───save
├───sherlock holmes versus jack the ripper (ru)
└───sherlock holmes versus jack, o estripador
Edit: We really need some formatting here.