I could change this but I guess we need some intelligent code that will check if there are wallets in %LOCALAPPDATA% and move them to %APPDATA%.
Yeah, that's why I didn't just fix it myself and submit a pull request.
Do you have a source about this? (APPDATA vs LOCALAPPDATA)
Windows uses the Local and LocalLow folders for application data that does not roam with the user. Usually this data is either machine specific or too large to roam. The AppData\Local folder in Windows Vista is the same as the Documents and Settings\username\Local Settings\Application Data folder in Windows XP.
Windows uses the Roaming folder for application specific data, such as custom dictionaries, which are machine independent and should roam with the user profile. The AppData\Roaming folder in Windows Vista is the same as the Documents and Settings\username\Application Data folder in Windows XP.
Basically this means that Local/LocalLow stuff, since it doesn't "roam with the user", isn't very important and doesn't need to be saved.