I have both 2010 and 2013 at home. Both show the option to change destination folders. Don’t know why yours would
not.
This is the DoD’s response to losing government records by preventing people from removing email from the server before the scheduled server updates. You can thank HRC and the Department of State for this “solution”.
If memory serves, it’s possible that a group or domain policy is blocking the use of .pst files.