I installed the SDK. Naturally, I was begging for trouble by selecting a non-standard installation location, but it is an available button in the installer and the default has an annoying space in the name (as well as a location in C's root), so there you are. SDK installed fine into "C:\FS\MSFS_SDK".
Next, I ran the Documentation installer, but it gave neither errors nor any findable results. Trying to "Repair" the installation didn't work either.
Being of a rather suspicious mindset with regard to installers that don't ask for anything but confirmation, and having nothing better to do on this first day of the year, I created the "C:\MSFS SDK" default installation directory, "uninstalled" the documentation (which felt redundant but keeps the Windows administration happy) and then re-installed. My first suspicion (it would always be installed in the default location) turned out to be wrong but now the documentation turned up in my chosen location!
Could it be the installer has a failure path starting at the checking for the default installation path, that will result in nothing being installed if that directory doesn't exist? Even if it isn't used?
“Curiouser and curiouser!” Cried Alice (she was so much surprised, that for the moment she quite forgot how to speak good English).”