REMEMBER LAST DIRECTORY

That's different - it remembers recently saved files, sure, but each time you go to save a new file, it still defaults to the folder listed in your preferences. I think the OP is asking about situations where you are creating a lot of files and want them to all get saved to the same folder. This happens to me when I generate parts from a score, or when I generate a lot of examples for inclusion in a text document.

Assuming that's what the question is about, I just recently became aware that while "Save" always starts off in the default score folder, "Save As" *does* remember the last folder used. So as long as you use "Save As" for your initial save of a file rather than "Save", you get exactly this behavior. And of course, since it's a new score, there is no other difference between the two commands. Once I discovered this, I went and assigned a keyboard shortcut for "Save As" to make it easier access.