I'd like to join the dog pile here and say that my first user to use New Outlook cannot get used to Download, click the Download folder, and then open from there.
Personally, I rarely use PDF editors any more, as you can view PDF's much faster and scroll/zoom much faster in Edge. What's more, in Edge, you can fill PDF Forms; add Text and highlighting to PDF's that are not technically Forms (thus filling out any doc pretending to be a form using a lot of underlines). And you have the ability to 'Save As...' in order to save the modified copy - or, to simply move the document from wherever it opened to your desired folder (many users feel the need to have a PDF editor simply to Open a document and save it to another location, unchanged).
All of that aside ... this limitation IS taking people out of their flow. Many people will want to open a doc and easily be able to Save As after reviewing what it is for. Full Outlook had a 'Save As' option for attachments. New Outlook does not. New Outlook allows you to save to Downloads, or "Save to OneDrive" - a feature which I, an IT administrator, still haven't figured out (where did the file go?? Wait, it's in this strange folder at the root of OneDrive called "Attachments"? Now the folder is called "Email Attachments"? Why can't I save to a specific OneDrive folder???)
Anyway, overall, I vote to let users double-click PDF's to open them in the system's registered PDF handler.
I also vote to enable 'Save As' for attachments. And enhance Save to OneDrive with the option to pick a OneDrive folder or SharePoint Online library and folder.