Not game related but.Vista is a pain in the ass in regards to folder permissions. (These directories are hidden by default for individual users and for all users.) Rationale A user's Windows experience is more secure if applications run only with the permissions needed." If you are interested in the technical details, here's a technical requirements list from MS for games that will have that logo: Here's a quote that I think applies: "All other user data files must be stored in a subfolder of the folders that are specified by CSIDL_LOCAL_APPDATA or CSIDL_COMMON_APPDATA.
And I created a shortcut to the pdf manual there as well. What I did was create a shortcut to the long tedious path, and put it into the game start menu section. Part of it is also security, since Vista supposedly is trying to finally push non admin users to being the norm (like linux), and permissions and folders enter into the equation. Longer technical answer: Partly because vista changes locations of a lot of things. Companies are starting to try to adhere to these kinda things more so they work equally well on vista and XP. One of which is how and where your settings and savegames are stored. Microsoft has a long list of things they require if a company is going to get the "Games for Windows" logo thingy. Short answer: Its almost certainly because of Microsoft.