STR:
Settings -> Preferences -> Default Directory.
Check the third RadioButton and in the EditBox enter "C:\Users\UserName\Downloads".
Close NPP.

Restart NPP (New 1, no session).
Open a file located in any folder other than Downloads.
Settings -> Preferences -> Default Directory.
Check "Follow current document".
File -> Open (or Save As).

Result:
Downloads is the default folder in the dialog.

Notepad++ v8.1.3.
The issue existed in older NPP versions as well.