Hello, Janis McAdoo
Welcome to Microsoft Community.
Windows 11 never had the feature to save files to the last used folder by default. This was also removed in Windows 10. The version you're thinking of might be an older one. If you need this option, you might need to search for some third-party apps that can help you save files to the last used folder automatically on the Internet.
If you want Microsoft to bring this feature back in future updates, you can submit your suggestion through the Windows Feedback Hub. Just type Feedback Hub in the Windows search bar and follow the prompts to submit your feedback. Make sure to explain why this feature is important to you.
Yuhao L
Microsoft Community Technical Support