When I run the CSVtoHistory script, the output files show up in my Data folder instead of the History folder. The CSVtoHistory script calls the dataSave function, which the docs says "Stores a part or all records of the dataset with the given Handle number in a binary file in the History folder for faster access". Is this a known bug?

Up to "a binary file" the text makes sense but "history folder" and "faster access" make both no sense. That looks like a manual error.

Isn't the History folder the right place for the output files to go? The History folder already contained a bunch of t6 files like the included EURUSD files, and I've been reading my data for my backtests with this line of code: History = "History\\*_1h.t6";

Yes but I think datasets can go in any folder. Use "History\\....t6" for saving it in the history folder.