I've recently had some trouble moving the location of the indexes folder (for the in built Sitecore Lucene indexes).
I have updated the setting "IndexFolder" (originally in web.config but moved out into include). The config output in http://{mydomain}/sitecore/admin/showconfig.aspx is correct, the setting has the correct path (now in the Data folder instead of Website folder).
However, when I jump into the control panel and rebuild the index, it is still created in the default location ("/indexes", relative to the web application).
Has anyone had a similar problem in Sitecore not using the correct path?