Actually, they also go in the game folder's RuntimeData\Screenshots. AFAICT Arcen has their own screenshot-taking code, which triggers on the same F12 key as Steam, so you get two copies of the screenshot.
x4000 said that at some point they'd like to get back to having an independent installer and allowing, but not requiring, Steam. So that probably has something to do with why they haven't removed their screenshot code. (Although it's probably also developer inertia -- it's something that was handy in AVWW2 and other releases before they started putting games on Steam, and leaving it in didn't break anything, so the path of least resistance would have been to simply let it be.)
Somewhat off topic, but getting away from Steam is something I'd welcome. I grudgingly accept that the market segment that refuses to purchase games outside of Steam is currently significant and growing, and developers may need to bend to that as an economic reality. But I still hate Steam. In case you're curious, here are some of my reasons for hating Steam:
- Steam is, or is quickly becoming, a near-monopoly. If it goes on for long enough, it means they'll be able to raise prices, stifle innovation, and dictate terms to developers and users.
- It's hard to distinguish between games that are "available through Steam" and games that "require an active Steam account and Internet connection to play." While Arcen's been very good about making their Steam games run fine outside Steam, many developers don't -- and it can be hard to tell ahead of time.
- If Steam ever goes out of business, decides to terminate your account, or decides to drop support for older games, you'd lose access to many different games on which you'd potentially spent hundreds or even thousands of dollars. Putting all my eggs in one basket makes me nervous; I'd much rather have each game's online system provided by their developer, even if it meant higher prices for games (due to less economy of scale).
- The Steam business model practically guarantees they'll eventually have an economic motivation to drop support for older titles, because they only get one-time revenue when you purchase a game, but they have to keep the game download / patches on their servers and keep the DRM / multiplayer / achievement function going indefinitely, which costs money on an ongoing basis.
- Steam suffers from severe feature creep. Achievements. Social crap. Global chat. Every time I log on, I see an announcement that says I got five items in my inventory. WTF? I don't care about any of that. But I'm probably paying for it, and even if I did care about that functionality, I probably wouldn't use Steam's implementation because it's probably second-rate, because Steam's focus is (or should be!) on games.