I’m on Windows where you can save them where the hell you like, via the Windows Save dialogue. It defaults to the Windows Documents folder.
Did you try to save them in your user folder, close the program and try to re-open them?
Your question does not seem to be related to Cubase but only to Groove Agent. Could you please change the tags of your topic from Cubase to Groove Agent so that your question appears in the correct forum?