Samples: When you add Samples, the location the files get copied to depends on the Edit -> Location option.
Manager: When you execute in Manager, Samples are copied based on the Target -> Location option
Audio Pool: Set's Audio Pool folder.
Project: Project Folder
Custom: Wherever you want, so long as it is within the Audio Pool folder or the Project folder.
Retain: Manager Only. Retains the same folder hierarchy, but replaces the Source Set/Project with the Target Set/Project