Thank you Gymnasiast, that has to be it. I restored my "Documents" folder before installing OpenRCT2 so it must have picked up the "OpenRCT2" folder contained within it.
Just installed the latest version of OpenRCT2 (0.3.5.1) after doing a clean install of Windows 10 and it never asked me for the location of the RCT2 files.
Has this requirement now been removed?