For 3rd party OFX - Program Files/Common Files/OFX/Plugins.
Some native Vegas Pro OFX are in Program Files/VEGAS/VEGAS Pro xx.0/OFX Video Plugins. Other native Vegas Pro OFX are probably embedded somewhere in the registry - but that's only a guess.
It can be a bit more complicated if you have placed "my documents" under Microsoft's OneDrive. I have a local "my documents" and one under "OneDrive", do not ask how I got in this mess, but some programs (and games) prefer to park their settings and other data under "my documents" and if you have 2 places of my documents, well, guess what, some place it under the local one and some under OneDrive...
The question to me from the OP is not specific enough. While all the answers above are correct, say you are using Boris Continuum, it is also installed in this location, C:\Program Files\BorisFX\ContinuumOFX\17. NBFXl and Ignite Pro also have their own folders in Program Files.
Maybe if the OP was more specific as to which OFX plugin?
@Dexcon gave me a good place to start. I was trying to see if the new Topaz Video AI Ofx plugin for Resolve "Studio" would be recognized by Vegas Pro, if Vegas could "see" it and was compatible.. No such luck for now. But the plugin is very early in development and buggy in Resolve.