Suppose I'm working on a document in some directory, and I want to export it to a PDF in another directly. So, in File > Export > Export as PDF, I get a file picker, navigate to the target directory, choose a filename and the export happens. Now I notice I have a typo somewhere. I correct it, and perform the export again. I am again present with the file picker - but in the file's directory and with the file's own base name, not with the target dir and alternate name I chose last time. I believe it makes sense to persist the choice of export directory, and of the filename - for the duration of the editing session, i.e. while the file is open in Writer.
Not having checked the issue but if true it would be a bug. We expect dialogs to remember user settings.