Because Windows hides appdata from users, but many users often want to edit configs. So the devs stick them in Documents.
I don't use my Documents folder anymore because it's too hard to find actual documents among the dozens and dozens of misplaced config folders.
It should be no surprise that developers choose to dump non-documents into the user’s Documents folder.
Their attitude being the monopoly is just annoying.
For RNG/permadeath games like Don't Starve, the save file better be safe.