Roblox will create its autosave directory in %USERPROFILE%\Documents, rather than respecting if a user has set a custom documents location.
In my specific case it is putting the ROBLOX folder in C:\Users\MY_USERNAME\Documents rather than D:\Users\MY_USERNAME\Documents , which is the directory I have set as my documents.
This is annoying as autosaves and recentsaves are automatically put on my small boot SSD, wasting space.
This is not the case of screenshots and videos, which are placed correctly in my custom pictures and videos directories respectively.