If you set the "Memory in use" option in the "Messaging" app to "Memory card", then SMS and other messages (MMS, email) will be under E:\System\Mail on the memory card. The default in phone memory is C:\System\Mail. Contacts will always reside only in phone memory in the file C:\System\Data\Contacts.cdb
If you use the "Memory" app to make a backup to the memory card, they will all go into a single file, E:\Backup\Backup.arc
The c:\System is protected and PC Suite doesn't show it (and thus not the PC Suite APIs, either). You can see it on the phone with, e.g., x-plore (see downloads)