Hello, Caio Marques Silva
Welcome to the Microsoft Community.
Hello, thank you for your feedback here, I have noticed that you are having problems changing the wsl directory.
As your issue is an advanced operation that is beyond the scope of the community support, in order to provide you with more professional advice, I recommend you to go to the corresponding feedback links and consulting links mentioned in the following threads, where more professional engineers will provide you with more professional help.
Troubleshooting Windows Subsystem for Linux | Microsoft Learn
Thanks again for your patience in reading as well as your cooperation!
Best regards
Bobhe | Microsoft Community Support Specialist