Looks like it might be a bug,
The cause appears to be becuase if u select a folder UNDER the mirc folder it stores just FOLDERNAME\ such as SOUNDS\, if you one else where it stores the exact path C:\DOWNLOADS etc, this is likely so you can move the mirc installation folder, with out breaking download paths, which if under it would move with it.
When you select the mirc.exe folder it places nothing there, and i think this is what causes the problem, when mirc restarts, i think it sees this as a faulty line and doesnt set it.
If you must must must save them there, here is a fix, do these steps right after each other.
step1. ALT-O set the folder as per normal
step2. type in /RUN NOTEPAD MIRC.INI
step3. close mirc
step4. locate the [extensions] header in the mirc.ini
step5. locate a line that well look like this n1=*.aviEXTDIR: the n1 might be another number
step6. change the line to look like this n1=*.aviEXTDIR:.\ ie: add a . and a \
step7. save the mirc.ini
step8. restart mirc
This tweaks the setting so it thinks its in a folder called . which is the current folder it now sees a valid line there and adds it when restarting.
tested sending a file and this works it sends it to the mirc.exe folder.