Hello,
Check this Article for SEP 11.x:
How to modify the Symantec Endpoint Protection Manager (SEPM) Database Backup and Restore Wizard backup location
http://www.symantec.com/docs/TECH103675
However, for SEP 12.1; you can manually move the backup file to the other folder of your choice.
The backup file is saved in the following folder, by default: Drive:\Program Files\Symantec\Symantec Endpoint Protection Manager\data\backup.
The backups are placed in a .zip file. By default, the backup database file is named date_timestamp.zip, the date on which the backup occurs.
Note:Avoid saving the backup file in the product installation directory. Otherwise, the backup file is removed when the product is uninstalled.
For more details, check this Article:
Backing up the database and logs