...the Steinberg folder usually gets created automatically when you install a Daw...
Yeah, that's been my query. I would have expected Reaper to do this, but either it didn't/doesn't, or it's somewhere that I'm missing.
As I said, I have done an exhaustive search through my entire C: drive and haven't found it.

Reaper also supports Vst plugins as does Ableton Live, and Reason 10, most modern Daws should be able to support Vst plugins.
Supporting VST's isn't the issue. The built-in (Reaper) plug-ins work fine.