Yeah, the Aplication Support folder is actually the most logical place to keep the file according to Apple's guidelines. I think the problem here is the user's lack of familiarity with Mac OS X convention rather than any poor or counter-intuitive decisions by the developer.
BTW, if you want to create additional database files, just use File -> Export and save a copy wherever you like. But Quick Entry and syncing will only work for the default file location.
It's nice that OmniFocus provides this flexibility, but it's really been designed more as a "single-database" type app (like Mail, iTunes, iPhoto, Address Book, Stickies, etc.) rather than a document-based app (like TextEdit, Pages, Keynote, OmniOutliner, etc.). There are advantages and disadvantages to both, but I think the single-database approach is better for OmniFocus. Besides, OmniFocus gives you some of the advantages of a document-based app as well with the export command.
To the OP: You should explore the Application Support folder (actually the entire ~/Library directory structure) and get familiar with its organization and contents. Even a passing familiarity will come in handy in using Mac OS X.
Also, you should think of your entire home folder as "your stuff," not just the Documents folder. There's a lot of important data stored in ~/Library in particular.
PS - A handy trick for determining the location of a file associated with a window is to right-click or Command-click on the little document icon (called the proxy icon) that appears in the windows title bar. This will show a list of all the folders in the file's path. By selecting one of the folders, the Finder will open a window displaying that location. You can also use the proxy icon in drag operations (e.g. to move or copy an open file to a new location), although that's probably not recommended in the case of the default OmniFocus database file.
Last edited by Toadling; 2008-12-21 at 09:17 AM..