New module installed into wrong directory

I’m testing out how well my new server using Plesk does with installing Drupal, and I thought it looked like it would be a breeze. Drupal 7.x installed with no problems, and I was able to log in and start messing with my new test site. That is until I tried to add a new module.
I was logged in as admin, and used the “Install from a URL” route to install a new module. After, I found that the new module was installed into the drupal default modules directory, not the /sites/all/modules like I wanted.
Is this a problem due to the Plesk install, or am I missing something in my Drupal setup I have never needed to know before?

Drupal version: 


Source: https://www.drupal.org/taxonomy/term/22/feed