I experimented with it, and it looks like you can change the location that the installer downloads to by editing %APPDATA%\legacy-games-launcher\app-state.json to change the value for "gameDownloadPath" under "settings". The default is the temp folder, but you can change it to wherever you want, and it will download to that new location. Notably, while the download step uses this value, the installation step hardcodes the temp directory, so changing this value will prevent the game from installing. If your goal is to simply backup the installer EXEs, this will allow you to both download the installers to an easier-to-access location and skip the installation step.