They will have to be in those locations. For build and benchmark, those are prescribed locations. For doc building you could have it somewhere else, but there seems to be a very strong convention to stick with one convention across all packages.
Code Runner simply allows the user to run files coded in various languages (including Julia), but does not provide anything else.
What’s the proper way to quit VS Code when you are running Julia?
When I just close it it complains something is running on the background.