That is actually a big gripe I have with ST2. I would love ST2 to have its config files in an easy Unix-like place. Like dotfiles, or better yet, dot-directories.
(why dot-dirs instead of dot-files? Because while Windows does support symlinks, many programs do delete/newfile instead of modifying files, which breaks symlinks. In a dot-dir, that does not matter.)
But really, this is not a big gripe, and furthermore one easily solvable uing symlinks.