I would like to have the ability to choose where to save my data files for more convenient backup of my data.

Fidelity Static Data Provider already has a feature called Data Relocation. It's on the Fidelity data tab in the Data Manager.

Convenient backup is ruled by convenient backup utilities, not by placement of files. Serious backup software, even the free ones, can be configured to pick up the data from the hidden folders inside AppData where WL6 stores all of its user/config files. This is a pretty standard way accepted by modern software following some Microsoft guidelines.

Moving the whole Data folder in AppData is not considered but you already can try this (completely unsupported) workaround, partly or totally:

FAQ | Data and Data Providers >> Can I relocate the whole "Data" folder (or only some subfolder) of my Wealth-Lab 6 from C: to a different drive or directory?