They use Documents because it’s an easy way to ensure saves don’t persist between users. If you and a sibling both play on the same computer, you don’t necessarily want to be sharing game saves. Since the Documents folder is on a per-user basis, the saves are per-user as well. If they simply saved the games in the Program Files folder, saves would potentially persist across users. And anyone who has had a younger sibling accidentally erase all of their saves knows what a bad idea that is.