Videos and snapshots downloaded from Hikvision DS-7604NI DVR cannot be located in the locations specified in DVR Web GUI Settings. The files seemingly download successfully, there is even a pop-up showing where the file was supposedly saved.
But in reality, the files are not there. There is not even a folder called "Web" in the user profile.
The issue was caused by Internet Explorer / Microsoft Edge browser Protected Mode which prevents web applications from making changes in certain system folders and to prevent errors and crashes redirects them to a special virtual location instead. The actual location where the files were saved was: C:\Users\<username>\AppData\Local\Microsoft\Windows\INetCache\Virtualized\C\Users\<username>\Web.
Microsoft Edge (Internet Explorer Mode)