If it's running Lollipop, you would need to root the device to do that and that comes with risks. One is a probable breach of your contract with the service provider and another is losing any Warranty you have.
The biggest risk is of bricking the phone completely if the rooting fails. Given all that and that many Apps simply can't run outside the system folders and files so you might not gain much by not being able to download to the SdCard.