Yes, this is correct. Saved games, preference settings, etc are user data. That is, data created by your user, for your user. It is not expected to be accessed by other users of your computer - while the application itself is available to everyone, each user will have their own saved games and preferences. The Library folder in the root of your HD stores global data, available to all users.
I understand programs on Windows are expected to behave similarly, and Windows 7 can in fact force files to be stored in the user domain when an application tries to write to the Program Files folder (which of course causes no end of confusion).