I really enjoy Vegas. I have little to no problems with it. But the amount of .sfk files is a bit annoying. They quickly clutter up my folders and I don't really see the point in them being in my way.
A question that has been asked (reasonably) over many years. The answer has always been that .sfk files always go without choice to the folder where the original audio file is held. Yes, they are so annoying - but thankfully small in size.