The thing I don't understand is why you can't just set it on the main scene preview window itself. Click a button, then left click on the scene somewhere to set it.
I suppose the extra window is needed to handle the character preview? But I agree with you, the extra window is not needed actually. It would be nice to see the current walk-to point as a small dot or marker in the normal scene preview if I select an object. At the moment I have to open the extra window for every object to check the position.