Default "Save As" location in Microsoft Office on a Mac

When I open a file in Microsoft Office on my Mac, I typically do a "Save As" to append a version number to the file name.  However, by default the "Save As" location is NOT the folder where I opened the file (which is typical behavior in Microsoft Office on Windows...and for that matter any other application on the Mac).  Instead, the default folder is the location of the last file I SAVED in Microsoft Office.  This is extremely annoying, not typical or desired behavior, and is both baffling to me as to why it does this or how I can change to the expected behavior (if open file XYZ from folder ABC, the default "Save As" folder should be ABC).  This is literally annoying to the point that I'm ready to just ditch Microsoft Office on a Mac and move to Pages / Numbers / Keynote.  If anyone knows how to change (or why Microsoft is using this approach) please help me...

Mac OS:  Mojave 10.14.3

Microsoft Office for Mac:  Version 16.22

Posting this to Office -> Word -> Mac topic, though the issue happens to be the same across all Office products (Excel and Powerpoint).

Note, I do use OneDrive, though I just work from local directories and let OneDrive sync to the cloud.

Also note, I posted this question to a Mac forum, and everyone insisted this is a Microsoft issue as the setting for the "Save As" dialog are set by the program you are using (and I confirmed in applications like Pages, Numbers, and Keynote the behavior is correct i.e. as desired and done everywhere else...the default "Save As" is the folder where you opened the file).