Using setwd()
is sending a command to R, not RStudio, so I wouldn't expect that to have any effect. R is run as a separate process by RStudio.
I haven't checked the source code, but it looks like RStudio always starts looking for an existing directory in the current project directory if you already have a project open, or your home directory if not. If you want to create a new directory, it seems to offer first to create it in the same place as it did last time.
I don't think there's any RStudio API command to change any of this. But how often to you need to create new projects, anyway?