Asked in game, they're now under your Windows user profile (top right of your start menu) under Saved Games.
People keep telling me this, but it's untrue. It's in your saved games folder which can be somewhere else. For me it's: D:\Saved Games\MechWarrior Online\ScreenShots\ so it's not even tied to a USER profile. (Windows boot drive is C: but there is not the saved games loaction in "C:\Users\MyName\". Also, even though the MWO files are kept in the c:drive, my saved games folder is my D:\ (storage/non-SSD) drive.)
Sorry but that's exactly where its creating it for most people..... mysteriously I literally copied the path and replaced the computer name. YOU may have a weird personal setup but it doesn't make it untrue it just means you have a weird personal setup.