This is actually a pretty old one:
When the file selection dialog is used, the last used path is usually saved, E.G. when you select an application for the "Run an Application" action, you'll get one folder, but if you select sounds for the "Play a Sound" action, you get another.
However, there are two distinct behaviors here:
The "Run an Application" file selection dialog shares its location with the "Export Profile", "Import Commands", and "Import Profile" dialogs, though the former is intended for a different use than the latter three(I feel it would be useful to have them separate). I supposed this may be more of a feature request, as they're probably not separated by design.
The dialog for the "Value from file/URI" option of the "Set a Text Value", and the dialog for the "Inline Function Path" field of the "Execute a Precompiled Inline Function", also share that path.
The reason this isn't a feature request is behavior number two: When the file selection dialog for the "Play a Sound" or "Play a Random Sound" actions is used successfully, it actually overwrites the last location for all other dialogs, which does not happen the other way around.