The default setting in the gnuplot.sublime-build is :
"working_dir": "${project_path:${folder}}",
If someone is using something like set output 'outimg.png', this will output the image to the folder of the current Sublime project, instead of the path of the current .plt file (or some other gnuplot scripts).
Maybe it is better to change it to:
"working_dir":"$file_path",