Hello zvenx,
when Gladiator1 was released more than 10 years ago there was only a vst version. That's why Gladiator_data was stored within the vst directory. All our updates were downward compatible. The AU version came some years later later with v2.4.
In general the files must be stored somewhere on the harddisc. Gladiator needs them to operate. Where do you think the directory should be stored instead?
Please note that changing the location will result in many duplicate files on the systems of most users when they run the Gladiator3 installer without uninstalling the previous version. They will also loose harddisc space.
I added your request to the Gladiator3 beta thread.
Markus