Attachments have never been saved to the designated Downloads folder, unless you needed to use another application to open them. Image files that merely View in Place have never needed to be saved to the Downloads folder, but Word docs, etc that needed another app to open have been. Using the Quick View button also results in saving to the Downloads folder.
But the Downloads folder copy is a redundant copy to what has always been saved with the message. It was added to Mail to provide a temporary storage location for files that might immediately be edited and sent back to the original sender without having to save them more permanently. That is why the Mail Preferences/General has the selection for when to remove from the Downloads folder -- that selection does not impact the copy saved with the message.
In these regards, attachment handling has not been changed in Mail 4.x from that in Mail 3.x and Leopard. New in Mail 4.x is an Attachment folder in the INBOX.mbox folder of POP accounts, but this again is redundant to the copy saved with the message in the Messages folder. In Mail 3.x, the Attachment folder was added for INBOX.imapmbox folders, but not POP mailboxes, until now in Mail 4.x. There does not need to be a general User awareness of this new Attachments folder, as its use is not normally visible.
Ernie