It has always worked for me. That is strange.
F:\Steam\steamapps\common\Aerofly FS 2 Flight Simulator\scenery\images\name of whatever scenery I made\then the files in that directory.
So for example: F:\Steam\steamapps\common\Aerofly FS 2 Flight Simulator\scenery\images\austria\ then the new files go in there.
But that is the unsafest method you could do. Better would be in your user documents but some people don't have room there, that is when the "extra user folder" discussed here can be used. Instead of putting your files into the original folder where steam could delete them, e.g. when it checks integrity of the game, you should move them somewhere else!