It’s the same as Apple devices. You save something and it puts it where it can be found the same way you saved it…but not necessarily where you think it should be or where it makes sense. The entire ecosystem (both of them) are designed to be insular - you stay in the box and things just work. Yes, people have lost stuff in both cases - usually through their own fault, or the fault of someone who doesn’t actually understand how the system was set up to work.
If we treated MS the way most users treat Apple, there would be little concern. You turn on the device, do things using the MS core apps, and when you go to set up a new device all your stuff auto-populates. It’s just that Windows users tend to muck around with things, use non-Microsoft software, and - especially long time users - expect things to be where they used to be. In trying to make their system more streamlined (and Apple-like, both insular and user-friendly), but allowing the system to be used in a more traditional, manual fashion, you can make things go bad. It’s like adding an automatic transmission to a car but leaving the manual clutch - it can only end in tears.