Ninite Pro's download cache is in the same directory as the installer .exe by default, but it's easy to change.
One popular option is placing the cache on a network share. Do this with the /cachepath command line switch. For example,
NinitePro.exe /cachepath "\\<server>\<share>"
That example uses a UNC path to a share, but you can use any filesystem path for the cache location.
We have more cache documentation too.
These features are only available in Ninite Pro Classic.
We're working on documentation for the new Pro web interface. For now the available help for that is inline in the interface.