Correct, but most enthusiasts don't like to use the Documents and Settings folder.
1. Documents and settings isn't the same across different MS OS's. Meaning that you'd have to code in allowances for different OS'S, IIRC, 9x/NT is profiles directory in \WINNT or \Windows, 2000/XP/2003 is Documents and Settings.
2. Using Documents and settings fragments your system partition unless you've moved your profile of course. Most enthusiasts either move their profile away from their system partition or store their files away from their profile
3. Using Documents and Settings for users that upgrade and reinstall often means that vital data may get wiped out.
Allowing DosBox to use Documents and Settings would be as easy as getting the current profile dir using %APPDATA% variable (for NT4/2K/XP/2003, unsure what the variable would be for 9x, probly Profiles\All Users\something something) and setting a DosBox capture directory. Considering the fact that the developers like to be as crossplatform as possible I'm not sure if they'd go for this. (This is of course one of the "disadvantages" of being crossplatform) Even if they did the option would most likey be disabled by default, which leads us back to the current situation in which you can specify the capture directory yourself.
Note, I'm not a programmer of dosbox (yet), just a beta tester. So we'll see what they have to say about the subject.