Steam, get your sh*t together

You can't, nor can Steam. It's up to the game designers where a savegame is saved.

I know that a lot of games do this. For instance Mass Effect, Don't Starve, The Witcher, almost every Bethesda game. I think that you can just move the folders to your HDD and then when you load up the game just move them back.

Are you new to PC gaming? A lot of games do this,and some even worse by putting saves in %appdata%

A lot of games usually put saves on PersonalFolder/Documents

"How can I prevent this?"

Probably, you can't.

Yeah, a lot of games save to your documents (or occasionally in other places on your internal HD). Nothing new, and nothing you can control.

Steam has nothing to do with this, they just publish and distribute games. Those games are programmed to create saves on different places, nothing you can do.

La ruta donde se guardan las partidas guardadas está programada en el mismo juego, así que hay poco que cambiar a no ser que el mismo juego te proporcione la opción seleccionar un directorio alternativo...

The only way to "prevent" this is to use junction points, but I wouldn't recommend it unless you're experienced.

If you know where the default save folder is located for a particular game or application you can use Symbolic Links to redirect it to whatever location that you want. There's a forum post on the Steam forums that might help you. You must have Windows Vista or newer (not XP) to use Symbolic Links.

http://forums.steampowered.com/forums/showthread.php?t=2181335

There are also a couple of programs that they mention in that thread that might be of some use to you as well.

This might also help:
http://www.howtogeek.com/howto/16226/complete-guide-to-symbolic-links-symlinks-on-windows-or-linux/