If it's not in the directory then it will be:
C:\Users\Username\AppData\Roaming\RenPy\UniSaves
Not
ALL CG Scenes are optional, but all routes are.
Like
drdeath4h said it's primarily a warning letting you know that the save is from a different version of the game. If you encounter an error screen referencing a variable or something then the save is likely the issue. When you first start a new game that save game will carry the version of the game you started the play through on, and when you load the save the game checks if the current game version is the same version that you started that save on. If not, you get a warning.
Basically what can happen is if we add a variable to a route that takes into account a choice you made earlier on but your save is after were that choice is then you'll either get an error when the game goes to check that variable or you'll get a scene/dialog that isn't consistent with your choice.
Best example would be the Cheer Club Beach Trip which takes into account a lot of the early game choices.