I don't think this qualifies as a bug so not sure where to report it. After digging thru the config files, I found that screen grabs, chat logs and market logs are dumped to the "p_drive" set in config as:
"Path" = "@[email protected]
This is buried in the ~/Library folder and doesn't point to the documents folder where it should be. As a result it's not searchable via spotlight, etc.
It would be helpful to move these dumps to ~/Documents/Eve, similar to the Windows build <username>\My Documents\Eve.