For me I have no problem with this in KDE? Different browsers behave differently.
For me Firefox either saves to last location used or a set directory depending on user settings. In about:config you can see browser.download.lastDir which is how this is done. KDE is not driving this, Firefox drives it. I do find that set up a bit annoying to be honest, but I like seeing the dialogue box each time rather than everything going into downloads folder.
Chromium based browsers do it slightly differently, I think it's per website if you don't set it to a specific folder. Vivalidi seems to work that way for me anyway.