Hi TAT2027,
Thanks for your valuable feedback and sharing updates with us and I really appreciate your effort and your precious time doing.
And I appreciate your kind words.
It seems this problem is occurred with DFS in Office 365 version 2206 (Build 15330.20230). However, when you change to local drive such as C:\users*UserName*\Documents\ and there is no "Trying to connect" message and file saving is normal.
Since issue with Excel version 2206 (15330.20230) Current channel and there is latest Office 365 version 2206(15330.20246) Current Channel, that was released on July 12, 2022, for your reference: Update history for Microsoft 365 Apps) please try to update your Current channel (for those users who have installed Office 365 Current channel) to newest version and verify the result with us.

If this problem still occurs in latest version 2206(15330.20246) Current Channel as well**,** and since you mentioned**,** "Excel Release: Version 2108 (Build 14326.21018) Works without issue in the DFS environment" then as a workaround, you may also consider switch channel(for those users who have current channel) to Excel version 2108 (Build 14326.21018) Semi-Annual Enterprise Channel or you may also consider reverting back to previous of Excel.
Your understanding and patience will be highly appreciated. I hope that you are keeping safe and well!
Best Regards
Waqas Muhammad