Hi Gus
I think this is not so much an Archicad problem as one relating to your operating system.
I discovered, after moving to a Mac, that this is the case with all 'save as' operations - and it drove me mad, constantly searching for files that had gone awol.
In the old days of PCs, you used to 'log on' to a driver, or folder, and then all operations, "save", "open" or whatever, happened in that folder. Like so many things, progress seems to have resulted in a backwards step.
I'm afraid I don't know what the answer is, except to get used to it, and keep checking what your 'save as' path is before you press 'save'.