I think it’s a bug since PPro 8.0
I’ve been having the same problem and submitted a bug report a few days ago. I’ve tried setting the preview files folder to my raid but after saving, quitting and restarting the preview folder goes back to next to my projects, which is annoying bc I have the projects in a dropbox folder for backup, and dropbox is always trying to sync the preview folder now as well instead of just tiny project files