Where to put local checks for Windows for the Agent Bakery (CMK 2.1)

Interesting point. Since 1.6 the Windows directories are split to installation and Program Data but the inline help in 2.1 is still:

Note: When using the windows agent, all logical paths point to the same location - the agent installation dir

I never tested it but it smells like a bug.
Did you tried to search across the filesystem for your file?
I never figured out how to disassemble a MSI file.