Using Classic Outlook on Windows for personal email, calendar, and contact management
Changing the download folder only worked for the current execution for me. I was able to fix this for good by using Regedit as explained here:
Basically, it's changing the value of HKEY_CURRENT_USER\SOFTWARE\Microsoft\Office\16.0\Outlook\Options\DefaultPath.
Of course, the Office version in the path ("16.0") may vary.