When you insert a page into a document, make the default directory for the document to be inserted the same as the document it is being inserted into. Or allow the user to set preferences that include this.
Thanks for your valuable feedback. We have shared your concern with the team and we will look into this.
Raymond Zeitler commented
I'd consider this a bug fix. All other programs that I use conform to the idea setting the Current Working Directory (CWD) to be the one in which an open document resides. And the CWD should be the one that all file dialogs default to.