You can always change the default storage location for your recordings, even after the initial setup. Simply open the extension menu and click "Options". The first thing you'll see is an option to select where you want to store your recordings.
For more information, see If I save my recordings locally, where are they stored?
You may not have permission to change where your recordings are stored; this permission may be set by your domain administrator. If you are unable to click "On my local device," please reach out to your domain admin.