Some quick questions where does it put the file for a particular user?
Does it put the file in the home directory of the user? If the user is
a nologin user and doesn't have a home directory is there a way to
specify the directory that the server uses for the explain plan file?

If you can't currently specify the file name or location for the
explain plan I would like to request a feature

set explain on <to <filename>;

and the analogous

onmode -Y 1 <filename>

As background our database users aren't given home directories for
security reasons I am told (less you can do the less you can muck with
defense.)