It's completely harmless (unless of course it happens to be infected with a virus, but then it would cause problems wherever you put it). You can add/remove it without affecting anything else (except, of course, that the scenario batch files will stop working again).
Choice.com is only used to be able to create multiple-choice menus on the command prompt.
The reason that the system directory is preferred is that you'll only need one copy of choice.com. All batch files needing choice can find it.
If you put choice.com in the scenario directory, only batch files in that same scenario directory can find it. So you'd need to put choice.com in every scenario folder that needs it.
For the technically inclined: You can achieve the same thing as choice.com if you use SET /P instead. This works only on Windows NT/2000/XP. If you use this construct you avoid having to include choice.com with your scenario. You could do something like this in your batch file:
(...)
if "%OS%"=="Windows_NT" goto WinNT
choice /c:123 Please choose an option
if errorlevel 3 goto end
if errorlevel 2 goto something_else
if errorlevel 1 goto something
:WinNT
set /p choice=Please choose an option (1,2,3):
if %choice%==1 goto something
if %choice%==2 goto something_else
if %choice%==3 goto end
cls
echo Your choice was invalid. Enter a number from 1 to 3.
(...)
