That's normal, once you set the folder once, you can't change it, and I believe there's a message in the installed explaining that. This to prevent you from installing one product (let's say GSX) in one folder, and another product (an airport) in another one, which won't work.
If you realize you want to change your FSDT folder, just Uninstall the "FSDT Universal Installer", from the Windows Control Panel. This will clear your old choice, and will allow you to freely select a new folder for the next installation.
