There was a change in the way the Sketch > Export Compiled Binary feature works. The classic Arduino IDE saves the compiled binary files to the root of the sketch folder. Arduino IDE 2.x saves them to the build/<FQBN> folder, where <FQBN> is the "fully qualified board name" (machine readable identifier) for the currently selected board, but converted to a valid folder name by replacing all : with .. In this particular case, it will be build/Sanguino.avr.sanguino.
A convenient way to access the sketch folder is by using the Sketch > Show Sketch Folder menu in the Arduino IDE.
The need to document this change in the binary save location was discussed here: