I have found the workaround.
1- close the cakewalk
2- go to the project folder where the audio files are currently located
3- select all, cut
4- go to the folder you want to use as audio data
5- paste the files
6- start the Cakewalk, open the project, it will say "where are my files?!?!?!?!?!? AHHHHHHHHHHHHHHHHHHHHHHHHHHHHHH"
7- select the folder you chose in step 4, but say "Make a reference"
8- open the project, the audio files will be there, then save the project, close the cakewalk
9- go back to your project folder (the one in step 2), delete the folder
10- open the cakewalk again, open the project again, it will say "the project folder doesnt exist, AHHHHHHHHHHHHHHHHHHHHHHHHHHH!!!! want to create it?", say NO. It will offer now to select the audio folder, select the folder in step 4, save the project. DONE
11- to make sure you got it right do
11-1- play the project, work fine? layer 1 passed
11-2- in cakewalk, go to main menu Project --> Audio Files, confirm that the file show in the new location, worked? layer 2 passed
11-3- Now, record something in this condition, the file will be saved in the folder you wanted. Worked? passed layer 3
Worked for me