Where does Drafts save my markdown files?

Drafts stores the notes in CloudKit, not directly in files. From https://docs.getdrafts.com/docs/settings/sync

Drafts syncs using CloudKit, the same iCloud technology that lies beneath iCloud Drive, Notes, and other Apple services. It does not sync via files. Drafts can export and import to files in iCloud Drive, but content in Drafts is not directly visible in iCloud Drive.

There is an "Export" command in the "File" menu which allows you to export to text files.

If you have Backups enabled in Preferences, the Markdown data is also available in the DraftsBackup file shown in your screenshot (which basically is a JSON file containing both the actual text and all metadata). If required, the pure Markdown part can be extracted with any JSON-capable tool (e.g. jq).