Don't save custom profiles to that location, create your own folder for custom profiles. You can then add a path in solidworks to your new folder to use as normal. If you save the profile to the location above you will loose it if you upgrade solidworks.
I've tried to do the other way but I can attention like this, I try to file location contained in the option but the results I get "feture library is empty"
Create your sketch, select the sketch in your feature tree, make sure it is highlighted. then go to save as, select save type as library feature. Save to your own folder, not within solidworks data file.
Create your sketch, select the sketch in your feature tree, make sure it is highlighted. then go to save as, select save type as library feature. Save to your own folder, not within solidworks data file.
Hope this helps.