I don't really know from experience how it is in Windows, but in Linux F9 does screenshots in 7D2D and the pictures can be found in a subdirectory ("Screenshots" or "Pictures" or something similar) of the games install directory. You can find the install directory through steam (right klick on the games name, "game settings" and in one of the tabs there is an option to show you the install directory)Actually you make screenshots with F12. Since you used F9 this is most likely the reason why you are not able to find them.
C:\Program Files (x86)\Steam\userdata\19964459\760\remote\251570\screenshots
Best regards