This is related to Windows because your Windows install is on your SSD, so your My Documents folder is also defaulted to your SSD. You need to go through the process of changing the default storage of your My Documents from your SSD to your HDD. Since you got an HDD, that's probably worth it anyway, as you don't want the clutter that ends up being stored in My Documents on your SSD, probably.
There are several online guides on how you can do that if you search a bit for it.