It should be in your Digital Editions folder which is in your user's "My Documents" (Windows) or "Document" (Mac) folder.
I have a Digital Editions folder that I've created myself called:
-- Digital Editions
Oh okay, it's actually called "My Digital Editions" (I was looking for "digital" and nothing was coming up).
I have to say it's kind of annoying when software tries to do everything automated and not give you any choice. Some people like to specify these things. We should at least have the choice. I have a folder that already contains all my ebooks from the past few years. I certainly don't want to start a new one now and split everything up. I need to keep it all together.
I wonder the same, as there are no ebook files at all in Digital Edition in my Document folder on Mac. All I find is Annotations, import.log, manifest.xml, Thumbnails. So question remains, where is the ebook files? As I would like to find a way to sync or transfer to keep in sync with another computer.