The location will always use the root of the defined site.
For example, if you define a site at:
The WA Folders will always be created at the root.
If you want the WA Folders to be in a subdirectory:
you must define a site that uses:
as the root. This can get tricky to manage however, since the sub directory "ASubFolder" will be a member of both site, you will need to remember to only make changes to the pages in that sub directory using the second site that was defined for: