Can I change the s2member-files directory location?

Yes. By default, all protected files must live inside /wp-content/plugins/s2member-files. However, you can change this to a directory of your choosing using an s2-hacks.php file.

Please create this directory and file: /wp-content/mu-plugins/s2-hacks.php

add_filter('ws_plugin__s2member_files_dir', function(){
    return '/absolute/path/to/my/protected/files/dir'; // No trailing slash.
    // This should be a full absolute path on the server, not relative.