1. Custom keyboard maps are stored in the game directory. 2. Screenshots are stored in the game directory.
The game directory is for most time read-only, and should not be used for storing any new files. There is Application Data and My Games folders for this. This is unacceptable.
I like everything being in the game directory. It makes it much easier to do stuff when everything is in one place instead of scattered willy-nilly throughout my hard drive.
If you're unwilling to modify your Skyrim game directory, are you sure you should be playing a Bethesda Game Studios game on PC?
I find the Application Data folder much harder to access than the game directory anyway.