"Is it a must to have audio .sfap0 files in order to have wave's display?"
SFAP0 files are proxy files and they are not needed for the waveform display. Peak files which are needed for the waveform display (and can't be suppressed) are SFK files. Such audio SFAP0 proxy files usually are only built when importing and editing WMV/WMA clips.
"If so, how can I set where these files will be located?"