The question of advantages and disadvantages is mostly philosophical. One clear advantage of using Data Connections is that in the Enterprise environment, Connections can be created and maintained by System Administrators, separately from developers. This is a huge advantage for larger organizations that require separation of duties.
In the Sense Desktop (I'm assuming you refer to the Desktop Edition), the default path is indeed pointing at C:\Users\..\Documents\Qlik\Sense\Apps. If you'd like to change it, you can do one of the two:
1. Change the location permanently by editing the file Settings.ini, stored under Qlik\Sense\. You can read more about this technique in my new book QlikView Your Business (page 676).
2. If you'd like to keep your QVF files in different folders, you can drag and drop your documents from their different locations onto the Sense Desktop, and they will be opened in Sense Desktop as usual and will be saved in the appropriate folder when you save them. The only difference is - they won't appear in the Hub.