Probably started happening after the upgrade in bug 4569. It's very annoying on Windows where a .config is very out of place.
Fixed in r28734.
Note that the directory can have different names depending on environment variables. -d5 with an old client will display the name in the log though.
Tested using client build 4306 on windows.
No state directory is created and I verified that pulse audio daemon was started with --no-dirs argument in tlclient.log.