The SentryOne client and associated DLLs are stored in every user's Documents/sentryone/client folder. It also stores these files per-connection (ex: if a user has set up two connections to two different databases, they will have two copies of the client + dlls in their folder).
Storing these files centrally could be beneficial for a multitude of reasons, but specifically what I am thinking of is saving space on the C drive and better security practices (ease of keeping files/applications up to date).