Absolutely! As stated in the quick start guide ( http://casecomplete.zendesk.com/entries/20462296), you're free to put the working folder in your own private workspace, whether that be on a local drive of your computer or in some remote location. Keep in mind, though, that if you're using a remote location for your working folder you cannot include a hidden share as part of a UNC path. You'll also always need to have access to that remote location in order to work on your project.
In short, your working copy really doesn't have to be stored locally - that's just what we recommend, and that's what CaseComplete defaults to. You can browse to or manually enter your own location (like \server name\ProjectManagement\Projects\MyProject) to keep your working folder, well, almost anywhere.
If you need help setting up (or moving) where your working copy is located, shoot us an email at support@serlio.com and we'd be glad to help.