You made me curious. So I just installed Teams and there is no option as to where to install it. I was able to get it to run while in Locked Down mode by adding 2 exclusions to user space:
c:\user\user\appdata\local\microsoft\teams\update.exe
c:\user\user\appdata\local\microsoft\teams\current\teams.exe
Hope it works for you also.
c:\user\user\appdata\local\microsoft\teams\update.exe
c:\user\user\appdata\local\microsoft\teams\current\teams.exe
Hope it works for you also.