Where does it save a screenshot too? can't find em after i take em...

They get saved into your Vendetta folder as a .tga named dump*.tga, with * being a number.

Why are they being dumped as Targa files, anyway? I haven't seen those in a *long* time...

Because targa is uncompressed linear format that very closely matches the display data in the game :)

dumping to png or jpeg would require a compression step, which lags the game down , this just requires disk IO, and the disk is basically idle when playing anyhow, so thats not a bottleneck.