According to this repository, the data is saved, either in Documents, or in Userdata inside the Steam folder. I can't find it in Documents, and in the Steam folder, apparently it only saves the process of DMC 3. I know this because months ago when I passed the three games, I saved that folder in the cloud, and when I restored it, it only shows the progress of DMC 3.
Topic on Talk:Devil May Cry HD Collection
I found mine on the Steam Userdata folder with my dmc1,2,3 and options.sav. Not sure for the Documents section. Apparently they removed Steam Cloud for this game IIRC.
Well, I'll tell you that since the patch a few days ago, no delivery detects my saved games.