Ok, so it's up to you if you want to rewrite the bat script as NSIS. I think it's possible, you just have define an environment variable for GEOSERVER_DATA_DIR, and then on the shortcut we install have it pass in -DGEOSERVER_DATA_DIR=%GEOSERVER_DATA_DIR% (at least that's my guess of how to do it, basically pass in the env argument to the shortcut start up. If you don't end up doing it through NSIS it would be good if you could at least set the env variable on install. The .bat script will work without, but it's not super pretty. Also if we have the variable in there then it's easy to detect it if someone's installing another geoserver version.
Which brings us to the other part, which is probably more important, is making sure that we don't blow away an old conf/ directory. This should only happen if a user is installing GeoServer and they already have another install, and are attempting to do it over it. But even if not, it'd be nice on install to ask someone if they'd like to use their old config directory, and perhaps even if they'd like to move. This would be done by looking up the environment variable, flashing some message that it's installed. Also could think about asking on uninstall about saving config. So do what you will, all that I really want is for an installation to use the conf/ directory, since I'm including it now in the build script. If it doesn't get used the default directory is mostly empty, and that wouldn't be good.