As @martje65 pointed out, you can find the folder on the Status page. It should be located within your uploads directory and will start with wpo_wcpdf_.
As I understand, the plugin creates a new folder each year?
No, only the document numbers are reset annually.
Does the plugin delete an invoice when its order deleted? So when I delete an order, the plugin deletes the invoice, right?
It depends. If you trash an order, the document data is retained in the order’s metadata. However, if you delete the order permanently, the document data is also deleted.
Keep in mind that permanently deleting an order with a document number that isn’t the most recent may create gaps in your numbering sequence. If the document has the latest number, you can fix the numbering by decreasing the next number by 1 under PDF Invoices > Documents > Invoice > Next Invoice Number.
Please note that our documents as generated on-the-fly in the free version, that is, we do not store them by default, unless when they are attached (which is a requirement by the mail function), but they are deleted based on your clean-up setting, located at WooCommerce > PDF Invoices > Advanced > Settings tab > Enable automatic cleanup.
That said, if you have the Professional extension, you can use the “Keep PDF on server” setting, which is a per-document setting that allow you to store the document permanently in your server: