Thank you for your feedback.
The way, how screenshots are saved, depend on your configuration.
If you set the addon options to "display save as dialog", then this will always open in the "Downloads" directory. This is an API limitation! No way for me to change that!
If you keep the addon default setting to "offer to open the file", then you may configure your Firefox to "always ask for downloads". In this configuration, Firefox actually remembers the last used directory.