It has an auto-installer with a built-in path in the C:\Drive "system" folder chain; on my computer it is:
C:\Program Files (x86)\Lockheed Martin\Prepar3D SDK 1.4.4747.0
I would allow it to do what it is coded to do; it will auto-configure and add 1 or 2 Registry strings so FS apps etc. can find it.
Do not attempt to manually put it where you "think" it should be for a 'nutritionally complete' STEAM version FSX-SE.
Steam was never licensed to distribute a "complete" FSX SDK; all works well with ADE, SBuilderX, MCX and other FS apps using the P3Dv1.4x SDK after you allow it to auto-install to its internally coded path.
No need to assign file / folder permissions or RegServer DLL registration etc... it is less of a P.I.T.A. than a 3-step DVD SDK install.
GaryGB