Having switched from Mac OS to Windows a year ago, this specific thing had annoyed me to no end, and there are no good ways to replicate that behaviour (believe me, I’ve looked!)

What I currently use is Listary, which automatically switches open/save modals to the last used Explorer window location. However, I’d rather switch to something that offers this functionality exclusively.

You can also see this AHK script which I found in a comments section here a few days ago - https://pastebin.com/cmLVFdbB