All the Media Cache files and folders are only temporary locations for files that Audition uses whilst you are editing. They can be anywhere you want to put them that has space. But, of course, they need to be paths that are always present when you start your computer, ie. not an occasionally attached USB drive. Just use the Browse box to go to somewhere available on any of your hard drives. It is quite a good idea to use a Temp folder not on your system drive for Audition's Primary Cache. I choose my fairly fast Audio drive where all my audio files and Audition's sessions are stored. The Secondary one isn't really needed as it will only be used if there is a problem with the Primary cache location.
The Shared media caches are, I believe, only needed if you are interchanging files with Premiere or After Effects. Once you have finished your editing sessions and close Audition it should clean up most of those files as they are usually no longer needed. Unfortunately though a few temp files do tend to get left behind. So it is occasionally good to go into the Cache folders and empty them of any old leftovers..