You are assuming GSX should be installed in the sim own drive, which is not only wrong, but even one of the best feature of our software: it CAN be installed ANYWHERE you like, and it will still work.
This means, the default installation path in C:\Program Files (x86)\Addon Manager is PERFECTLY FINE, and the only reason you would like to have it elsewhere, is if you are very low on hard drive space on C:
If you are in this situation, you surely CAN install into any other drive, but this doesn't have to be the same drive the simulator is installed on, it can be anywhere. And if you want to install in the same drive the simulator is installed into, it's best to NOT install INSIDE the sim own folder.
However, even if you can install everywhere, all FSDT products MUST STAY TOGETHER. That's why you are not offered a chance to set the installation folder now: you already installed at least one FSDT product so, in order to prevent you to do the mistake of spreading different FSDT products in different places, the installer will not allow you to choose the installation folder anymore after the first install.
So, it's all normal and, of course, the installer is doing exactly what is supposed to do: forcing you to install in the same Addon Manager folder you choose when you first installed GSX, which is where the sceneries are supposed to be.
But it's not very clear from your message, if you TRIED to just accept what the installer correctly suggested to do ( skip the installation folder, since it's already correct ) and checked the sceneries, because it seems you just assumed they won't work, without even trying.