What? How will most any apps work if you don't have write access to the one location in all of Windows that every user should have write access to? Your Documents
folder is the only place you would normally have write access to. Pretty much every app writes to that location including Office so if you cannot write to it then apps won't work.
In cases where companies "lock down" Documents then they actually just point your documents directory to someplace else they want you to write to. You should probably follow up with your network administrators. I don't think they removed your ability to write to your personal documents folder.
SSMS does allow you to change where it stores some files but the particular item you mention I believe is not configurable. It will attempt to store its data in your user's Documents directory (whereever that may be).