I guess you've solved this by now but I ran into the same problem today and after a little research and some annoying tries I solved it. What I found out is this:
Using mklink function you can create a junction to a location but it will not boter if you are creating a it to a non existing location(that's the "file not found" you were getting). And you are creating a junction to a non existing location in this case due to C:\Users\username\AppData\Local\Android\Sdk should(not sure about this) be created by the Android Studio Setup Wizard during installation. In order to solve that, you should create \Android\Sdk in C:\Users\username\AppData\Local and it's done.
The installer does not show junctions to non existing locations in the Sdk install location so if you don't create the folders you can't select the link.
Finally but not less important, the installer does not allow the Sdk to be installed in a folder in the root directory C:\, so you have to create the junction in any other directory but the root one or move it if it's already there(that's what I did).
As I was writting this the installer was running and when it was done I came across the exact same problem with the location to store Android Proyects, and so the same solution to the installer must be aplied to the Save location in the New proyect step.
This is exactly what I did:
1) Create \Android\Sdk in C:\Users\username\AppData\Local\
2) Open cmd as admin and enter the following command:
mklink /J "C:\..\android-sdk" "C:\Users\username\AppData\Local\Android\Sdk"
It will return this:
C:\WINDOWS\system32>Junction created for C:\..\android-sdk <<===>> C:\Users\username\AppData\Local\Android\Sdk
Note: android-sdk is the name the junction will have, you can name it as you like and \..\ reffers to the folder where you want to put the it in, make sure there are no non-ASCII characters in the folder's name anyways.
3) In the Sdk install location, select C:\..\android-sdk and the installation will be ready to go.
4) Repeat the process for the Save location for new proyects, just instead of C:\Users\username\AppData\Local\Android\Sdk use the location you want the proyects to be stored in.
- Didn't try moving the junctions files but I suggest you don't, I guess that could get the paths lost and mess up the installation.
Hope this is usefull and good luck with your proyects!