When Safari ignores your preferred File download location setting, terminating the com.apple.Safari.SandboxBroker process can resolve the issue.

Credit to Saagar Jha, who noted the problem and solution:


Open a terminal and run the following command to kill the SandboxBroker process:

killall com.apple.Safari.SandboxBroker
kill -9 ...(ps | find "com.apple.Safari.SandboxBroker" | $in.pid)

Tip

This technique only touches Safari’s helper daemon; it doesn’t delete preferences or reset Safari itself.