Official comment
Admins can control where a shared folder is created by manipulating their own group membership. The location of a created folder is dependent upon the user's current group. End users cannot manipulate their group membership, so their new folders are placed in the storage vault associated with their group. Multiple group membership is managed via policy hierarchy, so there is always one effective group for a user. Groups are defined with a particular storage set, so all folders created by users in that group will be created in the storage vault specified by the group's storage set.
Once a folder is created in a storage vault, anyone adding or updating files in that folder will be using the storage vault of that folder - regardless of the user's current group-specified storage vault. So the admin can create folders on various vaults and share them with users who have a different default storage vault. That's how data can be placed on multiple storage vaults.