I don't believe that you actually have a choice for the catalog location in PSA SE. However, it doesn't matter. This is only one file [well 2 or 3 actually], which will never be all that large. It has no bearing upon where you keep your images. That is up to you entirely.
Well, the install program DID ask me... and the cache file seems to grow to be pretty big... I'll try to delete it and see if that wrecks anything. I'm not impressed that I get a choice, and then it gets ignored..