I often use the File -> Export as PDF item to save a webpage. This opens the standard macOS "Save" dialog.
The recommended/expected behavior is that the directory where the file should be save is the most recent one that was used in this dialog. What Orion does is to always reset it to "Downloads".
Safari behaves as Apple's HI Guidelines suggest, i.e. the dialog starts with the most recent location used.

Dialog should start with last-used location, as this image from Safari shows.
By the way, while taking the screenshots, I noticed an nteresting difference in the way the dialog is handled, which you can see subtly. The Orion dialog is a separate window, appearing in front of the window being saved. The Safari dialog is part of the parent window. I mention this only because it might help explain the behavior.

Orion 1.0.4, macOS Tahoe 26.3
Tahoe (26)