It is a ext4 and I just tried again, still saying: "Cannot select a Network or Removable location"
Fun fact: I just tried a new folder in my home dir called "test" and it gives me the same error. I can not change the Data Location to any dir in my home dir (which is still encrypted)
I can however change the directory to a place on my disk which is not encrypted and can NOT undo my changes because it would not let me choose any dir in my home
I have the strong feeling that it is the encrypted home dir