This may seem obvious but I want to be sure. If I played TW1/2 on Steam versions, I can import the Steam save to the GOG version of TW3?

Yes you should be able to because steam and gog are the same PLATFORM ie PC. They use the same code.

It was stated that in order to import a save from The Witcher 2, your saves must be located in Documents\Witcher 2\gamesaves. So you will have to check your steam folder to find your save files, and relocate them.

Here is a guide to help locate your steam save files.

http://en.cdprojektred.com/support/installation-folder-saves-folder-config-folder-location/

No, that is not normal.

Witcher 3 will only look in the default savegame directory for the import.

Please, re-read what I told you. It is prefectly normal, because steam stores its saves files in a different folder. You'll have to find it, it shouldn't take more than a few minutes. You go to program files\steam\userdata. And here is the tricky part, you'll see a lot of folders named with numbers. Now, you type *.sav in the search bar. A LOT of files will appear, and they'll surely be located in a route like C:\Program Files (x86)\Steam\userdata\xxxxxxxx\20920\remote.
20920 is the app id for The Witcher 2. Now, select one of those files, and open its containing folder. Voila, you are in the saves folder. Copy all those files to the empty folder you mentioned before, and that's it. Of course it's normal: Steam uses its own folder to store the save files. That's why his folder is empty.

The guide i posted explains this.

My point was that on installation of The Witcher 3, it will only look in the default locations for a file to import. The guide posted by morgwin explains where they are.

The only important save will be the last autosave.

I have The Witcher 2 on both Steam and GoG, The saves are in the same location and can be used by either steam or GoG. I would think that The Witcher 3 would be the same.