OK, last ditch attempt.
Uninstall SP... clean out all the user (me) transferred files.
Reinstall Substance_Painter-1.1.0.548-msvc11-x64-standard-full. That's the earliest exe I have that I feel may be ok to use. (I WILL NOT start SP as I'm sure these will fail under Win10, but just to build up a pre existing shelf structure..)
NO files are put under users, it's all in program files.
Reinstall Substance_Painter-1.5.5.851-msvc11-x64-standard-full.
STILL everything is under resources in the program files directory.
There was no way to change the directory to the shelf here..

Reinstall Substance_Painter-1.5.7.866-msvc11-x64-standard-full
Still, it does not create any directories for shelf items outside of program files resources.
When I set the path to C:\Program Files\Allegorithmic\Substance Painter\resources\shelf\allegorithmic, it sees a lot of the sppr files, alphas, generators etc.. but it does not see (even though they do exist under C:\Program Files\Allegorithmic\Substance Painter\resources\shelf\allegorithmic\presets) the tools brushes or smart materials.
It's just totally baffling.