This has come up in the context of creation of a backup of a secret key when moving a secret key to a smart card. It is also relevant for the backup option when doing "create key on card".
And in other places, too, though there you have the option to change the storage folder (which is then remembered).

In case of the simple "Copy to card" function, the backup is automatically saved to a users "Documents" folder. This might not be appropriate for secret key data as one might have a special location on a separate drive for critical data.

Therefore this should be configurable and via the registry, too, for the case of a company policy.