When you set the file download location to "Ask for each download", this is honored in normal sessions (as far as I can tell). However, in private sessions, downloads automatically get saved to some default OS location. There's no dialog to choose a save location. As far as I can tell, there's not even a way to configure in advance where those would go (since the global setting is always-ask).
When the file download location is set to "Ask for each download", this should be respected in both standard and private sessions.
Version 1.0.4 (143), WebKit 624.1.2.19.2 Build date February 17, 2026 Mac 26.3.1 (a) (Build 25D771280a)