Where is the data for Properties.Settings.Default saved?

Since you selected user scope, they are saved in each user profile directory, more specifically, inside the AppData folder of the user profile in a file named user.config.

The full path is dependent of the application.

In Windows 7 without roaming profile and with an Windows Forms Application named Example.Settings.CustomClass I'm getting the following folder:

C:\Users\[user]\AppData\Local\Microsoft\Example.Settings.CustomCl_Url_3qoqzcgn1lbyw2zx3oz1o3rsw2anyjsn\1.0.0.0

Also note that they are saved taking in consideration the version of your application and that the values stored in App.config are the default values used for a new user.

I was looking under Win 10 for the Settings. If anyone else need to know, they are not stored in Subfolder of Microsoft (see previous answer). Just look here:

C:\Users\[user]\AppData\Local\Example\Example...\1.0.0.0\