Funny, I thought about doing that a long time ago, but I didn't see any point to it. My company doesn't make it's own textures, scenes, or appearances, so we just go with whatever is installed. Unless you are making your own, and you want everyone on your network to use your custom appearances, then I would stick to the C-drive.
But you are correct, there is no option in SolidWorks for changing the location of scenes and appearances. The closest thing is 'Textures'.
We don't really have a reason to move it either - just consistency.