The download directory in settings is for 2 things:
The path that Opera uses when it downloads a file type without asking. As in, it's for automatic downloads.
The path used for the default path the first time you use the Save As dialog.
The download directory in settings is NOT used for the Save As dialog. What Opera uses is the last path you used (or the download folder path setting the first time you use the Save As Dialog). Opera stores the last path used for the Save As dialog in the Preferences file in the profile folder. It's the default_directory string value under the root/savefile object in the Preferences file.
Now, what you're seeing is that in addition to "Save as PDF" using the Save As dialog, left-clicking on an EXE link for example will use the Save As dialog too (because Opera forces asking for that type even if asking is turned off for downloads in settings) and default to that last used path. Same thing if you right-click on a link and choose "save linked content as". But, if you were to download a zip file instead by left-clicking the link to it, it'd download automatically to the download folder listed in settings like you'd expect. Then, as you can guess, if you turn on asking for downloads in settings, even left-clicking on links to would normally trigger automatic downloads will trigger the Save As dialog instead, ignore the download directory path setting and default to the last Save As path.
It's kind of weird, but that's the case. There's no option that I know of to have the Save as dialog always default to a certain directory no matter what directory you saved to last time. Notepad++ has an option like this if anyone needs an example.