I answer my own question buying the game on Steam too.
Without doing any manual manipulation, the savegame on the windows store version of the game will not appear in your Steam game.
I have been able to transfer my savegame.
The windows store savegame are stored here : C:\Users\{USER}\Saved Games\Grounded Windows 10
The Steam savegame are stored here : C:\Users\{USER}\Saved Games\Grounded
The structure of the folder and the naming of the folder are different. How it is how I have succeed to go from windows store savegame to Steam one:
Open the steam version start a game, then save it. Then leave the game.
In the Windows store savegame folder, I look for the most recent folder (last save made). There normally one folder, so go in the first folder, then go to the most recent server ( or the savegame you want if you know which one you want. Open that folder
In the windows store folder, you should see many files, some of them filename ending with ".sav". Copy all the files.
Then, go in the Steam savegame folder, if there is multiple folder, delete all folder except the most recent one ( that will deletre all savegame except the last one on Steam)
Open the folder in steam savegame, and delete the content of the folder, and paste the files that you copied at the step #3.
Open the game in steam. When you start a game and choose Continue, you should be able to load your savegame that you had in the windows store version and that you copied in Steam.
Some advice :
Keep backup of both folder (Grounded Windows 10 & Grounded), like this is any mistake are made, you can revert the change
Assure that both your game are on the save version / both up-to-date. using savegame coming from a different game version may cause some issue.
I hope my personal experience can help the one who would want to do the same thing
Have a good day in your backyard !
Lirnak