It also lets you select other hard drives installed on the computer. You could set Music to be saved on F: and so on. Continuing with the previous example, you could select a different drive for Documents, say E. Windows 10 allows you to pick different partitions for different categories. It's too bad that you can't pick a custom folder for the saved data, but this option should be fine for most users.
selecting D: as the new location for pictures on my computer created the folder in D:\Ashwin\Pictures. It will be created in the following format: 'Username\Content Type\'. Note: Windows will still create its Documents folder for each of the selected drives. You may have to re-open existing applications for the change to be reflected though. Once you have done this, Windows 10 will save the data to the selected partition. You will see a progress cursor, wait for a few seconds and it should be done. You will have to repeat this for each of the 6 options if you want to change the save location for each of the data types.
If you want to change the save location of Apps, simply click the button next to the icon and select a different drive.