Luckily there's a simple solution to this silliness in the form of mklink. Start an command prompt as administrator (right click the start menu link and choose "Run as administrator") and type the following. Change the second directory to wherever you have steam installed.
mklink /d "%localappdata%\microsoft\age of empires online" "X:\Steam\steamapps\common\age of empires online"This creates a symbolic link (not a shortcut) from the directory where the patcher wants to install files to the directory where steam has actually installed the game. Now you can start the game and not have to download it all again. Huzzah!