I just tested this on my single machine dev environment and found that after copying the newly-created statistics folder from the (also newly-created) C:\arcgisserver\directories\arcgissystem folder to the D:\arcgisserver\directories\arcgissystem folder, and then deleting the C:\arcgisserver\directories\arcgissystem directories, that the C:\arcgisserver\directories\arcgissystem directory was recreated immediately- just as you all found - but not the statistics folder itself.
Everything seems fine so far. Nothing else is being written into the C:\arcgisserver\directories\arcgissystem location, but I can't tell yet if the .dat files in the D:\arcgisserver\directories\arcgissystem\statistics folder are being updated.
Not sure, but I didn't see a way to specify D:\arcgisserver\directories\arcgissystem\statistics folder at config time. Regardless, I'm not sure that I will want to move this folder when I update our 3 machine, 2 cluster production environment....