When you set the LW settings to download to a new location, usually only the new downloads will go to the new incomplete folder location (there might be some exceptions). The older incomplete files will continue in the older incomplete folder location. Yes this has always been an issue and is a bit of a PITA.

The only solution I could think of could be a total PITA if you have a very large number of incomplete files and still this is purely theory.

If you open up the Downloads.dat file, you will notice the incomplete files give a directory map of location. You could try manually changing those to the new location.

Example: change: C:\Documents and Settings\Administrator\My Documents\King-Song.mp3
to:
F:\LW Downloads\King-Song.mp3

And change

C:\Documents and Settings\Administrator\Incomplete\T-7256901-King-Song.mp3

to:
F:\LW Downloads\Incomplete\T-7256901-King-Song.mp3

And any other occurrences of same items listed.

If you are using LW 5, the downloads.dat file is stored in LW's main preferences.

However it sounds like you might be using LW 4, in which case you may need to copy these details and the all the other related details for each file from the old Downloads.dat file to the new one in the newer incomplete folder (example on Drive F). All the other details (which are somewhat unreadable) will be other details listing the file's Hash information as well as previously downloaded %, etc. etc.

* From what I can see, the Downloads.dat file lists both the eventual download location, AND the incomplete folder location in next paragraph or so.

If you are using LW 4 it would make such a test more complicated because you'd need to copy-paste sections of each file listed in the downloads.dat file to the other one.

Of course all this would need to be done whilst LW is closed.