So it's My Docs in the regular windows defined spot or bust.
That's a bit shortsighted of the devs, if you ask me. Especially considering the lack of room on affordable SSD's. (Granted, I have 2 256GB drives in stripe so I can house a fair number of Steam games, but I prefer not to have my documents on a volume that has double the chance of failure.)
Perhaps using a symlink might work, but that still wouldn't give me the opportunity to redirect to my server.
Maybe once we get steam cloud saves this gets resolved.
