Bit late in the day but may help someone as I had this same issue on Windows 8. Seemingly there is no default folder for all Bluetooth downloads like there was in previous versions. What's more, I have found that the generic Windows 8 Bluetooth driver can act differently when a set of Bluetooth transfers have completed, for some bizarre reason.
i) Sometimes is offers the chance to save the files to a location of your choice once the files complete: In this case, it defaults to the profile's Documents path but can be changed. So do check in the Documents folder in the first instance if you didn't specify a location yourself.
ii) If you are *not* offered a "Save as..." prompt when the transfer completes: The downloads are usually within a temporary subfolder inside **C:\Users*<profile>\AppData\Local\Temp*. So either search this folder for recent files, or order the subfolders by date descending and hopefully you'll find the one containing your photos.
I wouldn't be surprised if other Bluetooth drivers do different things, but these points above are worth a try. Either way, I don't really see why they couldn't just add a customisable path to the settings and remove any confusion in the first place.
Regards,
Lloyd
Mine were actually in a SUB FOLDER within the TEMPS FOLDER... but this got me close enough to find them!!! Thanks... :-)