They don't save anywhere. They are merely buffer snapshots stored in memory for internal use of the program.
You can go to Compositon>Save Frame As to get a snapshot you can save and use again.
Thank you very much.
I got it. When Clicking and holding The Show Snap-shot, It only shows the last Snap-shot.
I thought they get saved as of Images.
Part of corner cutters (my own script bundle) has a script that saves snapshots as files. It is only saved as .png (as it's the undocumented function that Adobe probably uses for the snapshot function.).