Windows 7 has built in security measures that treat any programs installed in the "Program Files" directory as protected operating system files, it's really quite annoying and can cause strange problems for some people, and can for some make the game completely unplayable. The save files should indeed show up in "Playlogic\Age of Pirates 2\SAVE\Player\" directory, If your not finding the save files in there, then it may be storing them somewhere under your Windows user name profile directory, somewhere in "C:\Users\".
Try this, go into CoAS and take a look at the description of one of your save games and write it down, for example one of mine is called "Martinique Fort de France Street", the save file name shows up as "Thagarr Martinique Fort de France Street" with no extension. Bring up Windows Explorer, select drive C: and then in the search box in the upper right, type in the save file description. You might not need the whole description, just a couple of words, execute a search and see if it can find that file name. If it doesn't show up, more than likely Windows 7 is hiding the file as a protected operating system file. If it does show up, Windows might not even let you access it unless you are signed on as administrator. You will either need to turn off the "Hide protected operating system files" option in the folders view and run the game as administrator, or install CoAS to a different folder such as "C:\Games\" it will run fine without any problems from there. Hope that helps mate!