When I installed the game, it did not create a documents folder.

What makes you think it should?

All the game files (save games etc.) are stored in the folder where you installed the game.

I see them saved under "My Documents\Icewind Dale - Enhanced Edition\save", not in the game install folder.

"Icewind Dale Complete" is the original version, re-released in a bundle with expansion included, and is NOT the same as the new/updated Enhanced version (which does indeed put saves in My Documents).
The original kept saves in its own install folder (like many games of the time).
However, if you install the original version in Program Files (x86) on Vista/7/10, any "saved" or "modified" files end up in your c:\Users\username\AppData\Local\VirtualStore\Program Files[ (x86)]\Black Isle\Icewind Dale\ or similar folder. Because Windows Vista+ protects the Program Files locations due to malware/virus becoming much more of a problem in the early 2000's.
(Never ever install old (or new) games to Program Files. Make a new folder on C: or on another drive. Saves SOO much time and frustration. Hell, I would not even do this on my Windows 98 retro hardware even though it works fine)

As to the original post: I am not sure if Icewind Dale creates that folder on install, or if it just creates it on first save, regardless of version.