Hi @iqkh,
Yeah this is quite weird. It's something we have reported to the development team.
However, there's an easy workaround once you know it. What you do is that you first build the step to save/export/download and execute that to make sure it works (seems like you have already done this). Hereafter, close down the save as window, then manually click on it to get the window again. Now, since you were the one clicking it, you can now drag-and-drop to build the action and it will work. Build all the relevant actions in the window (writing the file path and name + click save). Now, if you run the actions by clicking play, everything will actually work.
Hope this helps.