When I click OK I get this error:
Found some blogpost and changed this in regedit but it didn't help.
Anyone got any other ideas I could try?
I do not believe that these default paths for SQL Server LocalDB are changeable. This is quite unfortunate due to what appears to be a bug with SQL Server Express 2017 LocalDB ** (fixed as of CU 6 for SQL Server 2017), as per this question (and my answer to it) on DBA.StackExchange:
LocalDB v14 creates wrong path for mdf files
HOWEVER, you do not need to use the default paths. Those are used when you create a Database without specifying the physical locations. If you specify the physical location, then you should be able to create the files to any folder / directory that you have read / write access to.