Marc,
So, a little background...
When I created my locators (including the composite), I saved them in a folder called 'Locators' (original, I know) on the map server. As an aside, I also have a folder there that has all of the .mxd projects that create all of my map services. The data is on SDE or in a file gdb library area, all registered with the server.
Just like you, I have published each of the individual locators separately, then I publish the composite locator which gets copied to the map server.
On the map server, my composite locator is sitting here:
\arcgisserver\directories\arcgissystem\arcgisinput\geocode_services\<my_composite_locator_name>.GeocodeServer
Inside that folder, like all map services, I have an 'extracted' folder that contains an 'esriinfo' folder.
There are folders for each of the locator services in the 'geocode_services' folder with the same structure as above. In the composite locator folder, however, there is an additional folder called 'v101' that contains the .loc and .loc.xml files.
These two files make up the actual locator. These files exist in my 'Locators' folder mentioned above for the rest of my locators. I don't believe it is simply because I happen to have them in a folder already on the server itself that they are not copied into the same structure as the composite locator. I think they could easily be anywhere on the network as long as the folder is registered with the server.
So with all of that said, are the .loc and .loc.xml files getting saved to a 'v101' folder for your other locators or are you simply seeing the individual folders that are normally present? I am assuming that you have registered your locator folder location, otherwise you would see the obvious warning message that the locators will be copied to the server (like you see with the composite).