Finding a way to SCP Baulder's Gate 3 saves took me roughly 15 minutes to figure out, but wow, that's to long to learn how to copy a file. :) Leaving a bread crumb here for this weird SCP use case.
scp -Tr user@host:'"c:/Users/user/AppData/Local/Larian Studios/Baldur'"'"'s Gate 3/PlayerProfiles/Public/Savegames/Story"' .
The trick was to use '"'"' to escape the single quote (') inside of a pair of single quotes (').
Rsync On Windows
To get rsync functionality in windows, I prefer to host it within a Git For Windows SDK install. This prevents me from having to deal with WSL or a whole other cygwin for the one tool.
Note: Git for Windows SDK is ~2.4GB to download (after the install begins).
More information can be found in this SO Question.
Once you install Git For Windows SDK:
pacman -S rsync
And then you can:
rsync -sav "user@host:/c/Users/user/AppData/Local/Larian Studios/Baldur's Gate 3" .