Ok I found out theymos was partially correct. The link to the wiki was extra helpful. Everything was fixed after I did
"C:\Program Files (x86)\Bitcoin\bitcoin-qt.exe" -datadir=E:\Bitcoin
I had bitcoin core installed in my HDD while windows are installed on my SSD. Pressing the reset options button made the blockchain redownload but this time in my C drive's appdata.
Maybe resetting the setting also includes reseting the directory. Although at no point was my default directory in C:\Users\YourUserName\Appdata\Roaming\
Bug? I'm not sure. Annoying? Yes.
Thanks for the help.