When you compile a PAS file, the compiler will put a DCU file with the same name in the same directory. You can change this, but the default is to use the same directory. In Windows 7, writes to the Programs folder (and its subfolders) for non-elevated users can be virtualized. This means that when a program, like Delphi, attempts to write to one of these folders, the file will actually be written elsewhere, and may not be available the next time the program is run.
Therefore, since compiling the source files is something you do routinely, it makes sense to install them in a location which is writable by default, like Public Documents.
However, most component installers will allow you to choose a different install location. As long as you choose a folder which is not a subfolder of Programs, you should be OK.