ADMX Central Store is a centralized location of keeping new XML-based administrative template (ADMX) files. In a Windows Server 2008 network environment, the Group Policy Object Editor does not copy ADMX files to each edited group policy object (GPO). Instead, it uses ADMX Central Store in a domain controller. The ADMX Central Store is not created automatically.
When using GPMC on Windows Vista, 2008 or higher operating systems they automatically query the following location to see if a central store exists:
If you have not created this folder in your SYSVOL, GPMC will look at its local hard drive for:
If you have custom ADMX templates in your domain you want to use the new Central Store so that all PC's and domain controllers use the central store when editing group policy objects.
When you create the central store make sure you copy all existing custom ADMX policies from your local computer (%systemroot%\PolicyDefinitions) to the central store!
I encourage you to watch the following video by John Baker, it explains the Central Store and group policy changes in more detail!
You cannot change the location for the central store, it is hardcoded!