It would have been odd if you did not specify it yourself.

Actually, I still still find it rather odd, for I don't see to what end would one want to do that. I can easily imagine that causing issues with some Windows software, but I guess it's more likely not to with things like Steam for example, since you can install it anywhere.
I still wouldn't be surprised if some installer(s) would go weird about it. Personally, I would confirm it myself by installing Steam somewhere completely different (backing up the 'steamapps' before removing anything).

I do happen to have a 64-bit Windows 7 installation as well as access to FFXI via Steam, but mainly I use Gentoo Linux, and non-Steam version, so I can't just jump over and test it right away. It will probably take a while before I have the time to set things up for that.

For the time being, I'm out of ideas!