I believe this is expected behavior. I believe the use of "caller" is in relation to calling VIs. So, just because a class VI's library is going to a certain location does not mean that the class VI itself will go there as well. In app builder, library files (this included classes) are not treated as containers from the point of view defining individual VIs' behavior in the Source File Settings page. So just like setting a password on the class file doesn't apply the password to all referenced VIs, setting the destination of the class (or library) doesn't apply that to the referenced VIs. This behavior is limited to containers - folders in a project. That's why the behavior worked as you expected when you set the folders under the class to a specific destination. If the library that owned the class was under a project folder, then you could set the destination on the folder and all files under that folder would go to that destination.
