Not necessarily, your save games could be in a multitude of places largely depending on where the developer decided to put them. I would check your user profile folder and it's subfolders, namely My Documents and Saved Games as a good starting point. These are merely the main save game locations, you will find other save game files in other locations so happy hunting.
Specifically.....1) Empire:Total War; it is a steam game (but I think with no "cloud" function). It shows that I have played over 350hours, but there is no option for continuing my game
2) Company of heroes: I had finished part 1 already, and was exactly half way on part 2 (opposing fronts); it is showing no "continue" for part 1 which means I have to restart, but opposing fronts is exactly where I left off....Strange....
So the developer for CoH is the same, therefore the files should all be in one place. I can't figure out what has happened!