This plugin is so far from perfect it's ridiculous.
After a bunch of CHMOD warnings I finally get it to create the files in my wp-content folder. I renamed my plugin folder from the default and the creators of W3TC appear to have hardcoded the plugin directory into this junk.
Result: Broken site as it can't find the database or settings files.
Deleting it is even more of a hassle, I currently have an undeleteable /w3tc-config/ folder with some undeleteable settings files in it.
Stay well away from this plugin unless your site is still in development. MUCH more hassle that it's worth.