If I'm not mistaken: the installer simply installs some of the files that it needs to enable itself to unpack there, (just like you need to do when you want to use Vercingetorix tools), and then unpacks the whole lot to your predefined target folder (your RTW vanilla one), and after all that it should remove this temporary folder.

A bit like Winzip, which uses a Temp folder when you create a new winzip archive.