No, it's stored in the KPA. If you open or have RM running, you'll see the changes reflected in the app, but only in your Profiler folder. This folder will disappear if you switch your Profiler off 'cause its sole purpose is to provide a window into your machine.
In order to save to the app, simply drag the newly-saved Rig to a folder you've created.
To back up Rig Manager, use the app's backup / restore feature.
