On Windows using Geoserver 2.10 admin webinterface, try to create a Image Mosaic store by using the browse button and browse to whatever directory outside the GEOSERVER_DATA_DIR folder (be it on c: or d: or e,
you will see in the webpage:
when trying to save it as a store you will see an error message (see windowserror.jpg):
Could not list layers for this store, an error occurred retrieving them. Failed to create reader from file://D:\data and hints is null
Funny thing is (see windowserror2.jpg) that browsing for a Shapefile store you will see the same funny file-URL's:
but at least the creation of the store just works
Maybe it has something to do with the types of datastore (which handle the URL's?) or maybe it has something to do that for a shapefile you point to a FILE and for a MosaicStore you point to a DIRECTORY?