Since Kitkat, regular applications cannot write anymore to custom locations on external SD cards, due to security restrictions introduced by Google (yes, they must be evil geniuses); instead, read/write access is allowed only to the folder which has been registered during app installation.
Fortunately, Android is an Open operating system, and there's a way to re-enable this feature; unfortunately, it requires root and is quite risky (an error might compromise the entire system, forcing to reinstall everything from scratch or, in the worst case, it could lead to a device brick.
If you are bold enough :), you can try this procedure:
http://winaero.com/blog/unlock-external-sd-card-writing-for-all-apps-in-android-4-4-kitkat/ : it's written for Kitkat but it works for Lollipop too (tested by myself).
Time required: a couple minutes, plus a device reboot. Just read the instructions carefully!
Max - Italy