if you own Steam and this folder not exist, something is totaly wrong.
Please check existence with usage of the full folder path, instead of %AppData%…
C:\Users\XXXXXXyourUserNameXXXX\AppData\Roaming\Microsoft Flight
note: replace “XXXXXXyourUserNameXXXX” with your username. And you may enter “AppData” manually into the explorers path field, because it is a hidden folder.