With bitcoin and others, you can use
--datadir option to specific where blockchain, keystore, etc are saved. But doesn't work with Mist.
From the offical wiki:
To configure the location of the data directory, the --datadir parameter can be specified. See CLI Options for more details.
I start Mist like this, but doesn't work. Still writes everything into
R:\Ethereum\bin\Ethereum-Wallet.exe --datadir "R:\Ethereum\data\"
Also what is this stuff under :
%AppData%\Roaming\Mist? Does that have any sensitive information in it?
Why not keep everything in one place and make it configurable? It's been standard practice for all others coins for ages now (so that it's easy to put on removable or encrypted drives, ideally both).