That’s where I assumed it would be too. But I have looked there, and searched my entire hard drive, with no success.
The script executes with no errors, and then when I change “Overwrite File” to off, it logs an error that says there is a file already there with that name. This leads me to believe it is in fact being saved SOMEWHERE.
It conveniently leaves out where it is trying to save the file in the log error 
[2019.06.26-14.59.06:163][598]LogImageWriteQueue: Error: Failed to write image to ‘img.exr’. Should Overwrite: 0 - If we should have overwritten the file, we failed to delete the file. If we shouldn’t have overwritten the file the file already exists so we can’t replace it.