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I can't really recall any game that has offline play that actually lets you transfer saves between consoles and PC
C:\Users\ [USERNAME] \AppData\Roaming\Cuphead. I'm not sure if Windows Store saves it somewhere else, but I assume not, which should mean your save files automatically transfer. If they save it somewhere else you just need to move those files there.
No, most games aren't designed to move saves from PC to console, especially when those games have no online aspect/features.