The default installation folder is ok and, the only reason why you might want to choose another one, is that you don't have enough space on C:. Don't install inside the simulator, now that you can install outside of it.
Also just noticed that it had a fatal error while trying to install the Simconnect client? might that be a problem?
Yes, of course it's a problem. It's an HUGE problem and, if you cannot fix it, almost nothing will work in your simulator. Nothing that use Simconnect, at least. The problem doesn't have anything to do with GSX, it's a problem with the installation of the simulator.
I suggest uninstall P3D4 and reinstall it again, using only the latest version ( 4.3 ) of the FULL installer.