There's no way of setting a default folder for a documents module, but it's something I am very likely to add in the next iteration.

As far as the pros/cons of database vs file system:  I think the db option exists for those who don't "trust" the file system to be secure, and who like to be able backup all their content in one go (that is, by backing up the database.).  Its a question you might get a better answer for if you post in the general forums, since its a good question that applies to DNN generally (rather than being specific to the documents module).