Sorry but it somehow doesn't create the savefile in my appdata when I was trying to import my web save into desktop. I ran the desktop version to lv5, but still there is no Godot file under Appdata / Roaming.
Hey, i had the same problem - the description is a little confusing.
The save files are downloaded in your browser - you need to find them in "Downloads" folder on your computer and after that you need to move these files to C:\Users\{username}\AppData\Roaming\Godot\app_userdata. If you don't have this folder, just install desktop version and save the game once - it will be created.