The important thing to remember is that if you move the .dll file, the DAW program will not be able to find it. The effect will have to be removed and re-installed inside the program.

I let the self installing plugins (executables) go where they want to. I put all other dll's in a C:\VSTs\ folder.. makes them easy to find when I need them.

I do not work here, but the benefits are still awesome
Make your sound your own!