When you export photos, there is a Export Location section in the export dialog box that allows you to specify where the photos will be exported to. See for example: http://thesweetsetup.com/wp-content/uploads/2014/01/lr-export.jpg
The box isn't there when exporting to helicon.
I have found once the stack is complete that I deletes the files that were created for the stack - the files are temporary but very large and with 64GB left on C:/ I could easily exceed the spare capacity for temporary files
If I export as TIFF, which is what is exported to helicon I can choose the file location.
I have created my own export profile for zerene and the option is there for that.
Since I don't have this preset, I guess I don't have a direct answer to why it's not there. But you could use the plain old export to your hard disk (instead of the Helicon export preset) and export to any folder you want.
That look as though that what I am going to have to do.
Not really a problem, I was just hoping to be lazy more than anything.