I've just loaded Rhem II SE. I never played the original Rhem II. This will be a challenge in time and effort, but since football season is over...

Anyway, the original Rhem I stored saved games in the main folder under the name you gave them. The folder for saved games in Rhem II SE is more obscure. On my system (a Sony Vaio laptop running Win7 32 bit OS), the saved games are at:
C:\Users\NEW\AppData\LocalLow\Adobe\Director 12\RhemIISE\Prefs
On searching the internet, this seems to vary somewhat, but the place to look should be in your USERS directory. The next folder may be your username. Mine was NEW because my username folder was locked. Anyway, the next folders should be close to those above. You may need to search a bit, but it appears that they are consistently in a folder following Adobe\Director 12.
It's interesting that while there were 10 saves in Rhem II, that has been increased to 18 in SE. There are 2 text files for each save: R2SE_#a and R2SE_#b where # is the actual save number. So, the first save would use text files: R2SE_1a and R2SE_1b. The first text file stores a number for the save and the date and time of the save. The second text file stores the actual save data itself.
There can be some confusion here. When you save for the first time, 'number 1' will be stored in R2SE_1a, but if you choose to delete that save, the next save will show up as #2 on the save screen and be stored in R2SE_1a as 'number 2' even though that is your first save and is occupying the first save position. I screwed up my first 2 saves and deleted them, so my actual first save was showing up as #3! It turns out that it was a simple matter of editing R2SE_1a and changing 'number 3' to 'number 1' so that on the actual Save screen, my first save shows up as #1.
My plan is, before starting, to copy the 36 empty save files (2 for each save) to another folder. If I need more than 18 saves, it should be a simple matter of saving the used 18 saves somewhere else and plugging in the original empty files.
More information on Saves:
As mentioned above the 1a files contain just a number for the save, the date and time. When you do a save, these are entered automatically; you can't give a descriptive name for the Save. For example the first save file R2SE_1a might contain
number 1 - 2/2/2019 - 5:10 PM
However, it turns out that in the folder that contains the Saves, you can edit R2SE_1a and replace the date and time with a description such as:
number 1 - Start after Tram
I haven't tested this too thoroughly, but my guess is that your descriptive entry shouldn't exceed the number of characters that were used for the date and time. Otherwise, the system doesn't seem to care what is entered there.
Regarding the Save Numbers:
I mentioned above that the numbering of Saves can be confusing. It turns out that every time you save, a counter number is incremented in the file R2SE_pref which is stored at the end of the folder containing the Saves. This means that if you, say, delete your first Save, the next Save will be numbered as #2 even though it is actually now your first Save. Likewise, if you deleted that Save, the next time you saved, it would be #3 even though it is still your first Save which is using R2SE_1a and R2SE_1b. The fix is simple: simply edit R2SE_pref and change the number there to what was the actual number of your last Save. In this case, that would be a '1'.
Fwiw, the destination folder for saves may be useful if you ever want to change computers and transfer your saves. Apparently, once you set up Rhem II SE on another computer, you can just transfer the saves over to the same appropriate folder.