Where is the downloaded Ardor blockchain stored on windows and linux?
On Windows (when using Ardor mainnet) the blockchain will be downloaded to your "C:\Users\USERNAME\AppData\Roaming\Ardor\nxt_db" folder. Make sure that you can see hidden folders. You can find your AppData folder very quickly by entering "%appdata%" in the address bar of the file explorer. 

On MacOS (when using Ardor mainnet) your default user directory is ~/.ardor so the blockchain should be in ~/.ardor/nxt_db

For Linux, you usually use the Platform Independent Zip Package and the blockchain is located in the nxt_db directory in the directory of the unzipped package