Issue creating table in MS SQL Database with Python script

I think you need to add cnxn.commit() command just before the cnxn.close(). Thats how you save the changes made in the program to the database

Each user in MS SQL Server has a default schema associated with it. The configuration details depend on the version of SQL server and it is configured in the Enterprise Manager. I don't think SQL Management studio has GUI visibility into it.
You can try querying for it using:

select default_schema_name
, type_desc
, name
, create_date
from sys.database_principals
order by default_schema_name
, type_desc
, name

You can also explicitly create tables in a particular schema by prefixing schema name to the table name, i.e.

create myschema.mytable as...