Andrew would be the one better to explain what's happening, so until he does, I'll guess
To me, it seems he's using the default Windows scheme. I'm playing both CMAK and CMBB PBEM games, along with one Salvo PBEM, so I'm used to manually switching between folders to get to my files. I'm using XP. It defaults to the last folder I've accessed for all three game types, instead of the one that would be specific for the PBEM file associated with it. In both CM and Salvo, I choose the PBEM folders that each game directory creates. It's just as easy to create a 'central' folder for all PBEM game types, but I've just grown used to changing to where I need for each game. I know some of my programs, whether games or 'work', do default to their specific folders, so I'm guessing it's an API thing that the programmer would have to be able to add into their code, if the complier they use, permits it. I'm a Network Admin for a Jr. college, and even M$ Office products do weird default saving locations. There's the one (I can't remember now what it calls itself) that if you use it, you lose it...sort of. I deal with that user problem a great deal. That's why I think Salvo is using the basic Windows 'last location' scheme.
One bug that Andrew was never able to replicate on his systems was that when you save a file, the .txt extension is tacked onto the end of the file, along with the .cst extension. That's whats happening with the guy's files I'm playing against when I receive them. I have to strip off the .txt extension when I save it, or use Explorer to get to the folder and rename the file. I solved the problem for my system by going into Control Panel | File Options | File Types and associating the .cst extension with CST File. If you don't strip off the .txt, the game won't "see" the file. Not sure if this applies to your problem, since you seem to be seeing the file name somewhere, if you're seeing it has the .cst extension...hmmm, do you have the 'known file extension' option set to not show files with known extensions? You might be seeing the file with the .cst extension, but since .txt is "known", that part of the name might not be showing up...
I can't think of anything else I did. I've done a quick test, and chosen a battle for PBEM play, saved it, and then back to loading it. It's working ok for me. And since the Salve PBEM folder is the last one I've accessed, it's defaulting to it. True, the interface is designed differently, and I suppose I'm just used to it because of beta testing.
The guy I'm currently playing, we're on our second battle. I'll hit him up about his expirence with first dealing with the interface, but he has never commented about it.
Something to bear in mind, is that Andrew is very much open to suggestions. He is currently compling his next 'list' for a patch. Sound off, and he will be listening to you
PDF manual : That's an Andrew/Shrapnel question....