it was added in version 7.0, here is excerpt from the what's new file:
The SET SPOOLDIRECTORY command can be used to specify the default location for SPOOL files. This only affects SPOOL commands where no absolute path is specified.
Looks like there's a typo in the pl-sql-developer 7.1 help about this. There it says: SET SPOOL*DIRECTORY [Directory]
THE "*" should be removed there. Should also be mentioned that when you have a path with blanks you can put the [Directory] between double quotes, the same as with spool filenames or path with blanks.