Everything which causes UAC to be triggered should be marked with a UAC shield. Currently, under Windows Vista, the Change button in the Program Location area causes a UAC prompt, but the button is not marked to indicate this will occur. As far as I understand the UAC guidelines all buttons which trigger UAC should be so marked.
Also, it appears that once you have provided UAC credentials to make one change, you are then authorised for all further changes within that window. Is that intended behaviour?
Furthermore, would it not be better to allow editing of the path by hand, and then to require UAC authorisation to then apply all changes made within the options area because of this? Browsing to a location is a clunky method when all you want to do is change the drive letter.