To answer the original question, you can do it. Right-click the agent configuration and select "Advanced edit". This will open the agent configuration in a text editor. Search for "CLIENTDIR" and change the path to whatever you want. Then save the file and rebuild the agent installer. We've been using this for some server agents, and we haven't had any issues with it.
Bear in mind though, that if you open the configuration via the GUI and save it, then the CLIENTDIR value will be reset to the default program files folder! I have a ER open to suggest changing that - Make CLIENTDIR setting a part of the GUI agent config
Mark's workaround is a good suggestion as well as that doesn't include the side effect as described above and having to maintain an additional agent config