Not all games offer this option to install to another drive, for example none of valves games have this option, at least not for me.
That's because they all run on the source engine, so they have to install to the same drive as the source engine. If you were to uninstall all Valve games, it would let you choose the drive.
Also, Darth Pravus, I hereby confirm that this is a feature. I read through the update news when the update was released, and it said something along the lines of "added the ability to install games to a different drive than your Steam directory."