Hi,
SageMath is originally based on UNIX-like systems, so many concepts from that are carried over to the Windows port (albeit in a way that is not unusual for other Windows software as well). In any software program there is a concept of a "current working directory" which is the folder under which files are opened and saved by default (when not otherwise specifying a full path).
In many cases the default current working directory is your user "home" directory, which has no direct analogue on Windows, but the nearest approximation is the C:\Users\<username>\ directory, as you've found.
I'm not sure why you were expecting a notebook to be saved under Documents\SMW. In the Jupyter notebook it displays, by default, a directory listing of your current directory (again, in this case, your "home" directory by default). When you create a new notebook from this page that's the directory that the notebook is saved to (this is true on any platform, not specific to Windows). However, if you use the Jupyter Notebook's file browser to navigate to a specific directory (e.g. click "Documents" then "SMW") then start a new notebook from there then that's where it will be saved to. Of course you can always move the .ipynb file to wherever you want after the fact as well.
I would post screenshots to demonstrate but I'm on my phone right now.
Now, if you want Sage to always start in a different directory this can be done too, but is a bit tricky and requires editing some startup files. I can get back to you later on that if you think it's worth bothering.
