I think that the settings panel should have the ability to change where the filter list is downloaded to. Especially since you're offering a portable version. There is a PortableApps.com version of qBittorrent that is capable of running without leaving behind data in the User\AppData\ directory for example. I like to keep IPFilter in qBittorentPortable's directory and it would be very nice if it could write to this same directory, to keep everything contained.
Why not just add a textbox "Download to:" within the options panel with a Open File Dialogue along side of it? C# definitely has OFD api already built in, so it'd really just be about one block of code and then like 2 lines to add the GUI objects.
Logic:
It doesn't make sense to have a portable version that's writing to the AppData\Local directory. True portable applications should be writing to the directory where the executable is being launched from.