Yes, it is possible. Open Advanced - Configuration - Backup and set the default backup directory to .\Backup\ (only 1 point).
But I personally think, that this setting is very dangerous, because the backup directory always must exist or no backup file is generated and you don't really know, what is the current working directory.
I prefer to append .bak to the existing extension and save all backups in the same directory on a different drive. This is also a good practise, if I delete the whole directory by mistake. The backups are not saved in the same directory or subdirectory of the by mistake deleted files and so the files could be restored (more or less).
Best regards from an UC/UE/UES for Windows user from Austria
1 period, not 2, ahhhh. I agree, it can potentially be really problematic. But in my situation, I only use a handful of directories, so keeping a separate backup dir for each is very simple and ideal. Good stuff, thanks.