Where is the "Saved Gmail" folder?

When I am using the mail app I am told that I can save all of my important Firefox Gmail messages. The folder is entitled "Saved Gmail" as shown in this screenshot.

My problem is that I can find no such folder on my computer. As far as I can remember this was a default location for saving. Are there any suggestions as to where this folder maybe? Further, what better option is there for me to be saving all the Firefox Gmail messages that are being forwarded to my mail application?

iMac