Update. The LaunchTo is handy to know about, but I think we're still looking for something else. If I open Notepad and save a file to C:\Temp\one.txt, close Notepad, open Notepad and go to save again, I'm already in C:\Temp\, not This PC or Quick Access.
Users of our custom .NET app say they rarely go back to their last directory and instead start at This PC in the save as file browser each time when on Server 2016.