Just found this really old question unanswered so thought I'd answer it in case any others see it.
The disk which will be used as the volume mount point could be and existing drive i.e. C:\ drive or you could create a specific disk/volume to host the mount points. If the latter I would create a very small disk (doesn't need to be anywhere as big as 10GB although we thin provision by default so it won't consume any space if large) and use the default performance policy. In terms of protection, you don't really need to protect this as you could simply recreate it again if ever needed (so long as the replacement is mounted to the same letter all will be good) and then remount the mount point disks on it. If you really wanted to you could create a single snapshot after creation once and then remove the protection policy afterwards.
Just as an aside to Jason's answer, Depending on the size of your environment, you might consider creating a standard so it's clear to everyone what's going on. For example, it might be desirable to always have mount points on the C: drive in a folder called "mnt" because your standard build says that there is always a C: drive. This way, when someone goes looking for volumes, they quickly know where to find them, and on the flip side, someone doesn't think they're just a bunch of folders on the C: drive and start deleting data out of them to free up space on the C: drive.