Multiple disks on a single node

How exactly does the data distributes itself when I specify multiple paths in the path.data field?

One shard per mount.

Is it so that all shards of a particular index will be at the same mount point?

If you have 3 data paths and an index with 3 shards: each shard stays on one data path.
If you have 3 data paths and an index with 3 shards and 1 replica: one primary shard and one replica stay on one data path.